They say its best practise and it reduces oxidisation which is probably correct. I am not an anti-purgist, nor am I suggesting that you refrain from following this practise, just saying I have never done this and never had an oxidisation problem in over 4 years so I wouldn't be losing sleep over it.
If you purge after filling the keg there will be a higher risk of removing aroma from your beer, especially if it currently has good hop aroma.