Possibly so that the wheel magnet is less likely to move around. All of the below doesn't make much difference for all except the serious racer:
1. Weight added near the rim will have much greater rotational momentum than near the hub. Mounting weight near the rim will have two impacts:
a. First, sometimes referred to as the Centrifugal pseudo force - actually the momentum of the weight "wanting" to continue in a straight line but it is attached to a wheel which only permits circular motion.) Near the rim there is more angular momentum and therefore greater force is required on the wheel magnet (not known to be great at holding position anyway) to keep it in position so it is more likely to either slide down the spoke towards the rim or rotate on the spoke. Either of these could result in loss of signal or in contact with the sensor.
b. Second, weight mounted near the rim will affect the "balance" of the wheel - how symmetric the weight distribution is around the axle. If it is not perfect it results in vibrations. They are usually insignificant and absorbed by the wheel, fork, frame, and our legs and body without us noticing. If they are significant enough (eg. exaggerated by speed) they can become harmonically magnified and become speed wobbles (extremely simplified explanation).
2. Any out of true of the wheel and normal flexing of the wheel will be greater towards the rim and smaller warpage towards the hub. So more likely to contact or lose signal with the sensor.
NOTE: None of the above reasons should stop anyone (except possibly a serious racer) from mounting the magnet / sensor in the best place. The tolerance for the above variables is pretty huge. If you are worried these are the reasons you would want to care about the above explanation at all: the more you care whether you lose the signal and have to reset the magnet occasionally, curiosity, and for very fast racers possibly the lighter your wheels and the faster you go.
Thank you for the question that got my curiosity flowing.
