You just answered the question. I have been sewing for over 60 years, and have always done that. It makes the seams lie better in whatever position you set them, be it open, or folded to one side. Sometime try pressing a seam to one side without pressing it flat first and you will understand the purpose.

Try it and compare. If you don't think it's worth the effort, don't do it.

http://www.scrapquilts.com/pressing.html

I found this and it explains press /ironing clearly. but still WHY? I guess I am looking for a really good answer. I do know that my preasing is better when I set the seams.

Pressing your seams can change the size of the block. If we do not press we can sometimes loose 16/inch times 10blocks is over 1/2 inch. So pressing is very important.

All of these answers are correct.....sometimes there isn't a why.....only a because.

Are you asking for the technical reason "why" it works better?

Perhaps when the seams are set, the threads sort of disappear into the fabric and take up less space/bulk when the seams are pressed open, therefore the pressed open seam looks better.

I've also read on this board that it shrinks the thread ever so slightly and reinforces the seam.

I think there is some confusion in this thread-there are some posts indicating pressing in general (which is always necessary no matter what) and some about setting seams before pressing the two pieces open with the seam open or to one side or the other.

LOL so true, I just know I set my seams, but my sister asked "why" well I just know to do it, does not really matter why, just know it works better, but she wanted to give her class a reason to do it this way. :-)

SO, THAT IS THE REASON! YOU GET BETTER SEAMS...why are you looking for more? reading through the responses everyone has pretty much told you the same thing...the reason to set your seams is so you have smoother, better looking seams when you then press them to one side or open...that IS THE REASON...so, you are still asking why????
WHY???
sometimes (especially when you are fairly new) people tend to try to over-complicate things...it does not have to be complicated...it can really and truely be a simple reason. don't try to feed more into technique's than what is already there. it is a simple thing. set your seams and you will have smoother seams....
no reason for stress...