It's important for compression testing, the rings seal better when they're hot and a fresh coat of oil.
Leak down tests, I'd say it would give you more accurate data, since clearances, seals, and gaskets change dimensions with heat.
The problem is getting it set up for a leak down test while everything is hot, and completing the task before it gets cold.
Most everyone checks the engine cold with a pressure tester, but there is a way to test for leaks while the engine is idling.
Take some starting fluid and spray it over every possible sealing surface (gaskets, seals, etc.), individually, and being cautious about the possibility of a fire hazard.
Anyway, if there's a leak on the base gasket or reed cage, spraying starting fluid over the leak will cause the engine to run rich and sputter at a reduced RPM.
Usually only good for a quick troubleshoot, or if the problem only arises when the engine is hot.