When you steam milk, you vent steam out of the boiler, which exits as much purer water than it likely entered (assuming you're not using virtually-zero hardness water) in the steam boiler. The scaling minerals remain dissolved in the steam boiler water, and act to increase the hardness of that water. This accumulation of hardness in the boiler can turn a boiler full of water that is non-scaling into scaling water, if you don't drain it. That's my understanding. I thought it was mentioned in the
Water FAQ, but I didn't find it in my quick skim.
Beyond that, hot water sitting in a copper boiler being repeatedly heated and cooled can take on funny tastes, for whatever reason. If you have a boiler that sees light usage, flushing will mitigate that. Of course, that's only an issue if you're using the hot water tap on the machine for a drinking application like brewing tea, coffee, or making americanos.