The type of motor that they use in the fans have a hard time getting started but when they are first rotating they are easily able to get up to speed. You may have seen issues with older fans where they have stalled and just makes a whirring noise without rotating the blades (until they catch fire shortly afterwards). If you manually start the fan by pushing on the fan blades it will work perfectly fine. To avoid this situation it is recommended to start the motor on the highest setting so that it have enough power to overcome friction and get started. The switch is therefore configured in this way so that you always turn the fan to the highest setting first before turning it down.
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