There are two reasons that I can think of (there may be more).
1. Some programs want the original CD in the drive to prove ownership
of the program.
2. Some programs need access to a relatively huge amount of data (e.g.
graphics images) while they are running. They can either be
transferred to the HD at install time - where they sit taking up lots
of space for a program that you might only run once in a blue moon.
Or, the application executable and anciliary files only may be written
to the HD at install time, the program then relying on the CD being
available in the cd-drive for access to the data it needs. (Sometimes
the install gives you the option of which way to do it but not
always).
In either case, if you had forgotten to remove the cd after the
install, the program would automatically have looked for it and
accessed it. If you then removed it for some reason, the animation
program would squawk when next it was run.
