Especially if it's a Phil Wood hub. If you leave the skewer tight as you take the freewheel off, you also extract the axle/bearings subassembly from the hub shell. That's handy if removing the axle was your goal, but a bit upsetting if not. Also, if you shift a Phil axle over just a little, then the wheel is now out of dish and the derailer limit screws are both out of adjustment as well. So Phil made a tool that you are meant to slip over the left side of the hub before inserting the skewer, to prevent that.

That tool used to come with each hubset, but most mechanics didn't know what it was for, and many were thrown away. You don't need one necessarily, if you're careful, but it's safer if you use it.