On certain vehicles, it's a requirement to remove the fueses. For instance, the Lincoln Blackwood will leave you with a blank processor if you don't remove the ABS fuse.
The WDS flash tool that Ford Service uses requires the same fuses to be removed, so it's standard protocol.
That being said, I don't remove my fuses in my 05 Mustang GT when flashing. However, I strongly recommend it for 100% safety.