There are cases where the lens should not be set to infinity. If there is a specific magnification level you want to use, you can set it directly. Otherwise, infinity is a convenient, reproducible setting on the lens that allows the same setup to be used across sessions. When you add/subtract extension tubes, the focal point shifts accordingly. It's more or less the same as operating the focusing ring, but at a greater scale.

Moving the lens shifts the focal plane by a greater amount than the lens is moved. Moving the camera and lens together shifts the focal plane by the same amount that the system is moved, which allows for finer control. This is useful for small subjects at high magnification.

For electronic lenses, some cameras and lenses set the focal point to a specific setting when the camera is turned off. Usually, it's infinity, but you can still use that setting if it isn't. For systems that don't set the focus point when deactivated, infinity is still the easiest setting to set consistently. While the lens is attached to the camera, turn the focus ring until the lens is fully retracted. Then turn off the camera and detach the lens.

Zooms and lenses that focus by moving internal elements may shift the focus point inside the lens when not set to infinity and extension is added. Such lenses wouldn't normally be my first choice for use with extension tubes. This shouldn't be a problem with unit focusing lenses, but the focal point can effectively be on the glass surface, which isn't really usable.

Reversed lenses may have additional factors, but the above ponits should still be relevant.