Because when the solenoid opens and the cold water enters it takes a while for its effect to be felt on the thermic system or, more simply, at the thermometer. When the thermometer "feels" the cold water and cuts its inflow, "too much water" is already in the system. Now the solenoid is closed, but in a short while the cold water will be mixed with the warm water and the water temperature will be, let's say, 37.3 C.

If the cold water is disconnected, let's say you set 38.3 C, the temperature will oscillate let's say between 38.0 and 38.6. You will notice the value will change quite fast, with short "peaks" and then go back to normal. This is, I think, because the water doesn't mix very well inside the Jobo, some water near the heater forms some "zones" of high temperature which make the reading raise for a few seconds before going back to normal.

At let's say 38.6 the solenoid opens but if you disconnected the cold water there are no consequences. In ten seconds the display will indicate 38.3 again and all will be right. Those short peaks in displayed temperature will depend from less than perfect mixing of water near the sensor.

If the cold water is connected during those 10 seconds "a lot" of cold water will enter and the system will have been unnecessarily cooled, then the soleinoid will close but now the heater will take some time to bring the system back to 38.3 C. If there is a sudden trip to 38.6 the solenoid opens again...

Best way of operating is: if the bath temperature is above the ambient temperature, the heater is enough to control temperature IMO. It will go on and off and the temperature will tend to lower when the heater is off, with a gentle "feedback" between heater and thermometre.

If instead the cold water is connected the Jobo will act with "jerks" reactions: sudden peaks of high temperature will cause cold water to enter the system causing sudden falls of temperature. It will take more time and more money to put all the system in temperature because the Jobo will from time to time allow cold water to "undo" the heating work so far done, and it all becomes a Penelope's shroud.