Good question. I do it because I do it. Perhaps it helps a bit as I don't have any "first shave" issues some have with a new blade (no corking here). And it might help keep the edge a bit cleaner--so I do it after every shave. But I would never swear that it makes any difference. It doesn't really take any time, and it's kinda fun. So unless it is shown to be detrimental, I say why not?
I reckon it maybe does extend the life of a Feather blade by a shave ot two, but then again it might just be wishful thinking on my part. It certainly doesn't seem to do any harm.