I always coc from the menu and everything works, do you honestly believe devs start a new game to test modifications? That would take ages just to fine tune a scene.
No, but they can save their game directly after the Helgen scene, and use COC on a fully-built character to perform testing, or save directly before the scene. This is what is being suggested as a best practice. I do it every day, I keep a special save game just for this purpose, works wonders.
The point is simulating a possible user case when testing, as early and as often as possible. If the user would never COC from the main menu to experience your content, no matter how well it works for you or doesn't work, it still doesn't represent a valid use case. If your testing consists entirely of invalid use cases, your content is effectively untested.