But also lots of the other reasons posted here are very true too.
In all seriousness, clients obsess about their ads and how it appears way more than the agencies do...They often don't realize that it can hurt their CTR, their quality scores, and pollute the data used to measure results... Google built an ad preview tool for this very reason.
So, if you google your keywords to see how your ad appears, you have 2 choices. Click on your ad, which will cost you money or dont click and lower your click through rate which can lower your quality score, especially if you do it often.
The issue of polluting data is that now your agency or whoever is managing your SEM sees either a lower click through rate if your dont click or a lower conversion rate if you do click and will make optimization decisions without knowing how many searches were you.
Google has an ad preview tool in Adwords to let you check without impacting your data.
In the greater scheme of things, if its a high volume query, the harm is minimal, but if its a high value term with low search volume (i.e. a big ticket local service) it can really hurt you.