I do not have a definite answer as to why they say to remove it, I see two possibilities:
- An abundance of caution: maybe with this or another type of engine there was a case where oil was pressurized and came out of the dipstick when it was removed. I've never heard of such a case but it's possible. The wheels blocked instruction does seem to indicate there's lawyers at work, as you say nobody does that
- Accuracy: it's possible removing the oil cap is required to allow the oil to pool properly for a correct reading on the dipstick, by leaving it on you may get under or over-reading
However, your question is asking whether you should follow the instructions, to which the answer is yes. While it's completely possible it's an unnecessary step put in by over-zealous legal specialists, it's more likely there's a very good reason behind it.
As for removing the cap completely, it's easy to miss a cap that's loose as opposed to one that's completely off, and you don't want to drive with a loose oil cap - best case you have a mess to clean up, worst case it's a seized engine.