The main reason for this is so that the transition from the intro file being played and the music being streamed is seamless. Thus, you get the intro file and then the music. Most stations will just have a small, voice only file saying the station name as the intro file.
As Support have stated, the same sample rate etc also needs to match up to get the best results, and have also gave you the best settings to use (defaults). Any other problems, give us a shout!!