Some say that is to help prevent bloat. Put a piece of your dog's kibble in a bowl of water for a few minutes- maybe 10 minutes. How much did it swell? Now imagine the usual amount of dry kibble you feed your dog, in his stomach then adding water. Different brands and grades of food will differ in size. I work around that by adding a bit of water to the food a few minutes before giving to my 2 hooligans.
As far as I know this isn't a proven method, but after doing the same experiment and seeing how much the pieces increased in size, it does make sense.