There are often devices connected between different rails that have unwanted current paths that can be energized if the rails are not powered up and down in the proper sequence.
Think of an CMOS logic pin that can cause destructive latchup if an input is applied and then power is applied to the chip.
It can often be avoided by careful design and somewhat of an increase in complexity (perhaps at a slight cost in performance), but that is not always done.
One particular tactical grade military device I've worked with requires significant energy storage to maintain the proper sequence, so we had to add a lot of reservoir capacitance to meet the specifications under all possible conditions (mistakes can be very expensive).