There's a few reasons for it,
- Holds gaskets in place better during assembly
- makes removal easier afterwards, next time it comes off or whatever, less scraping, maybe even stays whole and reusable if you cheap
- potentially enables more even compression of the gasket paper and seals any small nicks.
Depending on which you're looking for or what you need, maybe grease or gasket sealer might work better, sometimes dry is just easier and cleaner, less likely to get any debris stuck in there working on your dirty ass garage floor. And none of them are hard necessity, you'll be fine dry almost every time too. just little matters of convenience, which exactly where there's no hard straight answers.