There is a small but significant chance of hydrogen gas (or other flammable fumes) to build up near/in the battery. Because of this, you do not want any igniting sparks to appear near there. Because connecting the final circuit will often produce sparks, the final connection will be done far away from any battery.
The other connection orders is to reduce the chance of a loose cable from accidentally connecting somewhere while hanging: disconnect the ones that are completing the circuit while you have both hands available, and *then* drop the completely unconnected ends that won’t matter if they bump into something metallic in the car.
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