most programs dont have to.
the ones that do , the main reason is because the program either relies on being started at bootup.
or the more common one the program requires that a specific file is modified for it but said file is in use so the OS doesnt allow modification: it will do this changes on the next boot.this is the case for windows when a program needs to write into the Registry or is adding its own version of files to a protected location.
ultimately the only reason is ot ensure stability and prevent Data loss.
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