Sometimes they suggest you don't pass through border control posts if your visa isn't 100% done yet.
While my H1B (later L1B) was processing, I was legally allowed to enter the US for business trips (Visa Waiver with ESTA), but the lawyers really recommended against it.
The border control people apparently can see the pending application and sometimes tend to be in the "I think you want to come here early and start working" mood. That way one might get denied entry which in turn has a negative effect on the currently processing visa.
(Being allowed to come back after leaving is a whole different thing, though, which is probably what you meant.)