So I feel there might be some under appreciation of why this matters, and it came up in a game last night.
Yes, it's so you're actually rolling the right save for a particular assigned wound. But, it has a pretty big tactical change in how and when you use Look Out Sir! rolls.
LoS! is rolled when you allocate the wound.
Now what I think most people did not realize is that there are two different orders of operation here, depending on whether the unit has mixed or different saves.
If all the saves are the same (bolters on IG all in the same cover, bolters on terminators) :
1) You roll all the saves together (at least for each separate wound pool). Say you fail 3 saves. Those are 3 uinsaved wounds, deaths, for 1 wound models.
2) Wounds are allocated. Say you have bolter marine, melta marine, and power fist sarge, closest to farthest. Bolter dies, melta dies (no choice, here) and then when it comes to the sarge,
3) You can make a look out sir! roll. But on a 4+, some other guy is dying, on a 1-3, sarge is dying.
But with different saves, let's say a Grey Knight Librarian in with some Strike squad guys, it's backwards:
1) Allocate wounds
2) Choose to make Look out sir! Rolls.
3) Roll saves.
So say my libby is in front, they get hit with a krak missile (Str 8, ap3), I have a funny choice. I can look out sir! and make some GKSS, who has no save against it, die. (or, if I had a guy in back who was in cover, I could shift it to him, and he'd get a cover save). But, I might decide to take it on the libby, cuz on a 2+ he's fine. But if he fails, of course, he'll suffer Instant Death and lose both wounds.
This is fundamentally different, it's a bet. I actually think this, the second, more unusual case, is what people think the new wound allocation usually looks like, but it's not. Much more often, you're rolling all the saves at once.
Take for instance a SM chaplain, say in, terminator armor, in with TH/SS termies. Krak missile comes in. Everyone has a 2+ save that applies here, and the chaplain is closest. The wound is not assigned yet, but you roll a 2+. You fail. You can choose to take it on the Chaplain, if you like, but that'd be stupid, as it would kill him flat out, no matter how many wounds he has. Or, on a 2+ LOS! it can be assigned to a normal termie, who will also die, but is obviously likely cheaper.