Because you are setting the new spacing to what is needed. If you just spread the stays with your arms and shove the wheel in, then the stays are under stress. They don't want to be spread like that. When metal is near its elastic limit, it will fatigue faster. Same idea of stress relieving the spokes, so that the metal isn't always near its elastic limit.

When you respace the stays, you go past the elastic limit and the stays are now cold set to the new spacing. The stays are happy to be at this new spacing, less stress is on them. They won't fatigue as fast.

Also, you won't be able to set the dropout to be parallel for the new spacing. Well, I guess you could, but I wouldn't be able to do it. Some say this is not good for cartridge bearings.

But going from 126 to 130 is not that big of a deal. If it was my bike, I'd cold set the frame. It doesn't take long and is easy to do.