Because it opens up the possibility of temperature changes, compromising the treatment. Many proponents of the heat treatment advocate no water changes during the treatment. It's just an unnecessary variable to add to the mix. Often those that have trouble with the heat treatment are doing water changes.
But i guess, if you continue to feed, as you would, you still may have to due to nitrates correct? I understand that you probably shouldn't get into nitrate danger territory over the space of 10 days presuming that your readings were good prior to starting the treatment?