The ignition is your only factory on/off switch for the blower motor in your car.
I had heard from a crusty old mechanic at my old GM service garage that they kept the blower motor on to minimize starts/stops of the fan for electrical reasons. Starting/stopping is hard on electric motors. This is true, at least for AC powered pumps in which I have some experience in. But I find it hard to believe it is a concern for a lightweight DC fan, though. But what do I know? This is simply anecdotal, no evidence I have found to support or dispute.
Someone told me once years ago it was for making sure the resistors had air flow to cool them down after heater use, but that doesn't make much sense because if you turned it off, they would no longer be energized, so they would naturally cool down.