Sanding of fillers helps remove any amine blush or bloom that may have formed and not be viewable. It also helps to ensure that the product has been mixed correctly as if you are sanding and the paper starts to clog badly then there may be an under-cured patch that requires removing and re-filling. Sanding also opens up any voids close to the surface that may lead to problems in later life and provides a roughened surface that helps the adhesion of the subsequent paint system.