Personally, for me it is a matter of pride.
Unless intending to reduce or increase altitude, I always aim to hold altitude as precisely as possible in a turn, no matter how steep. I fly unstabilised helicopters of both US and European design and so the tendency to climb/left dive/right with turns reverses when I change cockpits.
Why do I think it is important - simply to be as much in control of my machine as I possibly can be; to be the most able pilot that I can be. As you practice more and more it becomes second nature and eventually you don't have to think about not losing / gaining height. That way when it actually matters you have the skill.
For fixed wing, one of my friends aims to make a steep turn and run through his own wake - like hitting a speed bump. He can do this time after time now, but does confess that it was long practice that led to this.