I think it's mostly for admissions statistics. Schools like to know how they stack up against their peer institutions, and one easy way to measure this is to ask applicants where else they're applying. For similar reasons, when you decline an offer, they'll usually ask where you intend on matriculating.
Although it doesn't always seem that way to us applicants, graduate schools are also competing against each other to get the best students, so they want to see how they measure up. It's sort of like the "applicant profiles and admissions results" threads on this forum, but at an institutional level.
Thus, I'd say don't worry about it for the most part.
p.s. Every single one of the schools I'm applying to has asked for a list, so it seems like standard practice.