One of the most important reasons to shit flour is the fact that flour can have bugs in it. Small bugs get in flour and you don't want these in your food. In many countries, food is shipped in by boats. The boats have bugs, rats, and who knows what else on them. These rodents and bugs can get into the packaging of food products on the trip from one place to another. No matter how careful you are this happens. When the flour arrives in your store it already has small bugs in it. Therefore, it is necessary to shift the flour when cooking so the bugs don't get in your food.
Furthermore, when making cream sauces or even thickening a sauce, you should shift your flour. This helps to take the lumps out of the flour and make a creamy, smooth sauce.
It isn't necessary to shift flour all the time, but considering I live in the topic I have the habit to do this. I keep my flour in the refrigerator, but when the flour comes from the market at times it already has bugs in it. I just have the habit to do this now because I don't like bugs in my food.