2 Reasons, it makes it easier to remove the next time and prevents O-ring failure. The o ring will be dry and "could" freeze to the surrounding metal. It can cause the o-ring to stick to the filter or engine case and make it a lot harder to remove the filter the next time. I had a friend have this happen to his boat. Once he finally got the filter off (which was apparently a PITA), he didn't check for the old o-ring. It was stuck up on the engine where he couldn't see. He put a new filter on with a new o-ring, which then resulted in the new o-ring AND the old (or whatever was left of the old) o-ring being between the filter and engine. Ended up blowing out one of the o-rings, lost all the oil and seized the engine.
Regardless of the engine type, I've always checked to make sure the entire old o-ring comes out and that the new one goes on correctly and is lubricated with oil. Its probably just going the extra mile and won't always cause failures, but not a lot of extra work.
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2011 F800GS Alpine White, 1998 KDX 200, 2000 KL250G Super Sherpa