I was about to ask the same, I assume it's for recovery in case you mess up the OS, without data accces before first unlock, you are stuck with a brick unless you can boot and unlock it.

Bur I'm not sure I got it right.

My question would be more, what is the rest to select charge only when locked? Is there a risk that the device cannot be recovered? Or is there always a possibilty to reinstall from scratch in case of serious issues that prevent booting?