That is not a requirement and would not do damage to the car. But by straighten the front wheel, you know where the car is pointing at the next time you start it up. In some conditions, you may need to leave the car not steering straight when parked.
1. Parked facing down hill - leave front wheels steered toward the curb.
2. Parked facing up hill - leave front wheels steered away from the curb.
That way in the parking break fails and the car rows, the curb would serve as a stop.