There are a few reasons.
When metal heats up, it expands. The pistons in an engine can heat up rapidly under heavy load, so much so that they may heat faster than the cylinder walls.
If that happens, the piston will expand faster than the cylinder and damage/scoring can occur.
If the engine is warmed up gradually to operating temperature, then the components will expand more uniformly.
Another reason is oil being much thicker when it’s cold. Cold oil is harder to pump into all of the small passages throughout an engine, so if you put an engine under high load with cold/thick oil, you risk damaging the bearings and other parts that need oil to survive.
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