There are a few reasons that really stick out.
First, it's to keep the top dry, as those pesky buggers like wet. So even with the sand there, the wet kind of brings them to the neighborhood. Keeping it dry removes the temptation.
Second, would be to keep the sand/media from mixing. Not really for loss, but any of the base medium mixed in at the top is an island in a sea of "death glass". They'll find it, use it, and leave you scratching your head.
Those are the main ones to have concern with. I've never really bothered much with a little water in the tray for a bit. I'll fill the tray about 2/3 of the way, then wait. They should soak up what they want in a couple hours tops, then I just dump anything left. As you become more familiar with how much they're using, you can whittle it down little by little until there isn't but barely a film left in the tray. That much evaporates pretty quickly, and I haven't had an issue with bugs from just that.