Actually, it can help you save thread! If you're prepared, the leaders and enders are actually pieces you are using in another quilt. Or if you're using all 2.5in squares, you have yourself a very easy patchwork top when you're all done.
The point, regardless of whether or not you intend to use the pieces, is to prevent your corners from getting eaten by the machine if your machine is one that does this. I am in the habit of holding onto my thread tails anyway, so this is usually not a problem for me, but I don't have an auto thread cutter on my main piecing machine. My fancy (new to me) machine does have auto thread cutter, and it definitely eats the corner if I don't sit there and try to pull up the short little thread tails.
The action of pulling up the thread tails obviously wastes thread, so the leaders and enders are basically like chain piecing constantly.