Probably because most directions advise to use their own claying lube spray/solution, in which they think its better to start with a dry surface. Keep in mind, these directions are likely targeted to the average consumer, who may not understand the process enough to deviate from what the manufacturer suggests. Therefore, to keep the process as simple as possible for the majority, they keep the directions simple and straightforward, to minimize screw-ups.
What I have found works best is to clay right after washing with a fresh/new soapy mixture of car wash soap, my wash mitt, and the claybar. I lube a panel with my mitt, clay it, then wash it clean, and finally dry. Simple, effective, and produces the results I desire quickly.