I use to do it, but I had my own shrink warp (it's actually stretch wrap).

Lots of reasons. It can't easily pop open if it's overstuffed or the latch doesn't hold up. It makes it easy to spot. It makes it hard for people to break into it. It keeps it dry if it's out in the pouring rain like sometimes happen. It keeps it clean.

I don't think the TSA cares what your luggage is packed in, straps, wrap, duct tape, etc. That's probably way easier to open then someof the weird locks out there if they need to do a secondary.