It's not always adding wet to dry. Checking my memory right now, I see the Toll House cookie recipe - for one - specifies stirring premixed dry ingredients into the wet stuff. But nevertheless: why be so picky about the order of things?
In some cases mixing all together in one single mushy lump probably would make a satisfactory result, but the recipe gurus who make up these instructions want you to be able to prepare their product as close as possible to the way they envisioned it. So they want to control the order of the chemical reactions that happen in your ingredients. E.g.: leavening, gluten formation, maybe curdling of milk products (which you might want to avoid completely), etc.
Mixing ingredients out of order can cause unwanted chemical reactions or make the right reactions happen at the wrong time, or incompletely maybe, or not at all. Anyhow it introduces unnecessary variability in the carefully thought out procedure of the recipe.
For example, if random pockets of chemically reactive baking soda, for example, encounter small lagoons of acidic ingredients in your bowl while you are mixing, the leavening reaction will take place prematurely before the stuff is all homogenized. The required gases will form but they won't perform the correct function in your cake batter if the batter isn't yet in the state it is supposed to be.