For the same reason that you don't set Flex or TOGA thrust until your main engines have warmed for at least 3 or 5 mins (depending on type), it is good practice to allow an APU to stabilise thermally before applying a load. (By thermally, consider the APU's oil temperature and viscocity, the oil seals and the evenness of the temperature of the turbine blades.)
Those who start the APU and then as soon as they see 'available' bang on the air and the packs make me wince - especially if they are using APU GEN as well.
In a cold dark aeroplane with no GPU/FEGP, obviously you are going to start the APU, and obviously the APU GEN will come on line as soon as the APU is available. So given that electrical load, don't then bang on the air and packs as well - do something else for a couple of minutes such as continuing your cockpit set-up, or read the OEBs or do your flysmart or cockpit security checks, then put the air on, then the packs after a further few moments.
Give the damn thing a chance: Be gentle. You wouldn't start your own car on a cold morning and immediately drive off at full acceleration* so why do it to an APU? I have seen photos of abused APUs and their internals are a mess. You might need your APU in an emergency one day, and it won't be much good to you if it fails.
*Yes, there are those who do this and their engines sound like a bag of bolts and don't last very long. Have some consideration for your mechanical systems !
