That's the reason. If you rosin in both directions, the cake will adhere to the hair when you stop to change direction, and will generally result in a broken hair or two (or few).
Obviously, this is more of a problem with soft rosins, and less of one with hard varieties.
If you were to let the cake go off the end of the bow before reversing direction, i.e. never stop the bow on the cake, there won't be any issue.
Thanks for the response. This is the first explanation that I have heard that makes any sense to me. I was just about to chalk this up to "just another double bass urban myth".