It's just a double check to ensure the wheel hasn't settled onto the rim. If it has, even just a little, lugs can come loose over time. By re-torquing the lugs, you greatly reduce the possibility of it ever happening. If you have a torque wrench and the proper socket, you could do this yourself.
To be honest with you, I don't trust the torque the guys at the shop put on the wheels in the first place. Many are entry level tire changers who have no clue how to correctly operate a torque wrench (if they even use one in the first place). I loosen the lugs and re-torque correctly just to make sure. Most of these guys don't under torque anything, they usually over torque ... by quite a bit.