Actually I think I read somewhere that annealing of the DNA-templates (that is, forming of hydrogen bonds) is a (the?) rate limiting step in this reaction. At high temperatures these bonds are naturally less stable or easier disrupted.
Of course, a host of protocols exist and depending on your templates it might not be essential at all. With sufficient vector and insert e.g. an 1-2 h incubation on the bench usually works. On the other hand I often do o/n incubations in thermos flasks in the fridge for blunt end ligation. Using the thermos flask the temperature decreases more slowly and supposedly increases efficiency...