What Bjorn says. If you don't cut the tapers before finishing, there is often a slight gap in the finish right at the juncture of the nock, wood or nock, point. If you don't touch this up later, water can get in and loosen the finish. Two weeks of steady rain about ruined half the arrows I took on a moose hunt to Alaska a few years back because of tiny gaps in the seal, primarily at the nocks.
One caveat. If you put on a lot of finish coats, say two dips of finish, plus two more coats of cap dip, too much finish builds up on the tapered nock ends, making it difficult to seat the nocks straight. I usually regrind the tapers after the first two dips, even though it does clog my sand paper. No problem, and no need to regrind/taper, if you use only two coats of finish.