My question is; why? It's stressed all over the place that this should be done, but I can't seem to find an explanation about why it should be done.
I installed it anyway (r62203) setup a character with it; groups set, positions set, etc, exited WoW and deleted the files as mentioned. Went back into the game, same character, but had to reset the positions and any exceptions I made again. Do I have to delete the created CDT2 lua files every time I run WoW?
You don't have to do this every time you run wow, I assume the author said to delete the saved vars on update of the addon to avoid conflicts with previously saved settings. Perhaps he/she changed the variable names or something, either way, it's nothing to worry about. most likely it was down to a major revision of the addon, which would break if old saved variables were present.