I think what he is getting at is that when you call the header() function, to, for example, redirect the user to a different page
header('Location: http://example.com/page.php');
There must be no content echoed before it otherwise there will be an error.
If your script includes multiple PHP files, you may be including these before you're calling header. This is all good until at the end of one of the files, there is a trailing space AFTER the end PHP tag. This causes the header function to error, because there is already output been sent to the browser.
Not closing the end tag in the include file (as is permitted, apparently) means that you don't have to worry about a trailing space (or carriage return) appearing at the end of one of your includes.