Some people like to test their designs offline in a browser, and thats likely fine. But what if you had to throw in some PHP, perl, or python, etc?
Beginners can benefit from setting up their own server, but simply having FTP access to a shared host can provide a stepping stone for some. As a beginner, you don't want to learn a bunch of irrelevant stuff that you likely don't need anyway.
Offline vs client server testing
People who are on their toes, likely have a server running on their work-machines, so they can quickly transfer stuff to a live environment where they can test things properly. Of cause its fine to test your design offline, and when experimenting with new techniques etc. But if you know what you are doing, then you may as well save a few steps.
Its in the nitpicking category sure, but haven't it always been that around web-standards? Skilled old-school designers wouldn't hesitate to say that tables are easier to work with today, then fully CSS based layouts, if you are to maintain compatibility with older browsers. Yet thats discouraged at Brugbart: Ditch support for old Browsers
Some people just chill, take it easy, and other people just enjoy the argument, for whatever reason. The main thing is, that the job gets done. And while you might save some minutes moving stuff around, this is not really the first place to cut down development time.
Some people use dreamweaver or Expression, others use free alternatives. The main difference is costs, and thats where the free web-development programs really shine.
Live Web Testing
Who says you need to test things? Lets do this!
Testing things live on your web server, is usually not something you want to do. But there are times, where you ain't working with data important to you or others. Who says that you must do things like the professionals anyway?
BlueBoden started out from a shared host, and worked live with most the early projects, updated them live, and worked hard when things crashed, often without backups. Who cares when its just a few personal projects anyway, right?