for a couple reasons.
1 any pollution released by the coral when stressed/cut ends up in your tank
2 any nematocysts fired by corals when fragging drift around and can stress other corals or trigger retaliation and boost chemical warefare levels amongst corals (leathers are especially prone to retaliating at the drop of a hat).
3 If you ever drop a razor blade behind 100 Lbs of securely placed rock you'll have to tear your reef apart to get it out.
4 its easier to work, make clean cuts, and glue effectivly on a stable work station. beats trying to frag over an open tank.
5 one slip of the knife and you could bleed in your tank
6 or if you cut and drop the frag.... it could drift behind your rock work before you grab it and you just lost your frag.
I could mention more reasons but I think I covered the major bases.