So that there is not a remnant of the thread sticking up, and to provide a lead in for the screw; also good general practice. Having a thread remnant fall into the chain is not good for the chain or sprockets.

Cro-mo is not the easiest thing to drill, high quality sharp drills required. It is easier to tap than most stainless steels, but not be much. When tapping, turn in 1 turn, turn back ½ turn, repeat. Failure to do so will likely result in a broken tap.