I find that many pilots don't know that the Mag Switch doresn't actually switch anything off. It is a shorting switch to earth the magnetos and prevent them from producing an ignition pulse that could start the engine if the propellor was turned.
The check simply identifies that the earth connection is in place, once the switch is opened, there is an assumption that the next time it is trurned OFF i.e. the switch is made (ON) it will perform the same function. As with anything mechanical it may not! In general, switches are quite reliable so the major function of the test is to ensure that the magnetos are both connected to the switch and that the switch is connected to earth; this can be achieved by checking L and R without the need to go to OFF which will allow unburnt fuel to be sent into a hot exhaust manifold where it may ignite.