have you ever played a burned disc on a ps2 and had to do the whole "switch while it's not looking" type of thing? it's the same concept.
with a ps2, you modify the cover so you can change the disc without the console "knowing" (ie ejecting and reloading)
it's likely that windows could handle it fine, but it's equally likely that a windows system will blow itself up if you look at it wrong.
on a program like clonedvd that's essentially geared toward beginners, it's better to not have too many options that might cause problems.
it's one of those things where you might be fine, or you might find that windows can't read the disc. why not err on the safe side.
I've also heard that even for programs that don't require an eject that you should always eject and reload a disc before scanning. I have no idea why and don't remember where I read that (it was long ago), but I've always stuck by it, and I imagine that's why CloneDVD doesn't give you the option not to.