IMO it's more accurate to say it makes it easier to precisely adjust the headset by preventing the cup (or cone, depending on the design) from turning as the locknut is tightened, requiring a single spanner instead of two; if it's making the difference between the headset coming loose and not, the locknut is too loose.

As an aside, I like a keyed washer in a threaded headset (if it's surrounded by a lip to prevent the tang popping out of the slot and mashing threads), but I don't like em on hubs - they totally interfere with the very-quick-and-only-slightly-dirty technique I've refined over the years for setting hub bearings. Doesn't work on headsets, I suspect because of the much greater thread surface area.