1)
If you're a scum power role, you might have some kind of a daytime ability that you won't be able to use on the first Day if you don't read your role PM. Same goes for town power roles that have daytime abilities or even third party roles that have them.2)
Just because you don't read your role PM that doesn't mean you're suddenly invincible to the lynch. Suppose you do reach L-1 on D1 and are asked to claim. Are you going to claim Vanilla? What if you have a town power role and get lynched because a good amount of people on here lynch claimed Vanillas? What if you're scum and were provided a decent safe-claim?3)
By not reading your role PM, you could be forgoing the opportunity to learn information about the set-up, particularly as scum. For example, in this game I was scum with Glork and dahill1. There were a few quirks about being scum in that game: if dahill1 got lynched, we'd lose our ability to kill. I couldn't imagine not reading my role PM and possibly being in on his lynch pretty much costing us the game straight from D1. And imagine the Night 1 discussion if that did
happen...The other quirk was that in pre-game, Glork came up with the idea that the game was probably all or close to all vanilla just by reading his role PM. That also helped us shape our strategy.
There are probably other reasons but these three are pretty good ones, I think.