An improperly installed headset can gain slop in it as it settles in. Theoretically, it will also gain clearance as the bearing surfaces wears but not enough to be an issue.

i think the advice is good after a new headset install. A race that wasnt fully seated at installation could develop play.

Edit:
An improperly torqued stem (threadless) or poorly tightened locknut (threaded) could also cause loosening.

PSA: routinely check over your entire bike.