Isn't there an aircraft you have to set the brakes on for aerobatics and spin recovery. (something to do with more rudder authority). After such an exercise it would be useful to have a reminder put them off again.
I guess it also acts as as a reminder to the student to put their heels on the floor incase in their tense exitement they have allowed their feet to ride up.
Either way landing with brakes on is usually expensive.
Having said that don't some jets fitted with anti locking systems land with their brakes on for decreased stopping distance.