They enter the wood by two different methods.
The screw enters the wood by forcing the wood to split in a tiny area. It forcefully moves wood to either side of the fastener.
When you drill you are cutting the wood, you are not primarily pushing it to either side.
When you drive the screw in a pre-drilled hole it has to move less wood resulting in less force that may split the wood, and yet the threads will still catch (if you pre-drilled correctly.
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