The reason for this is simple. Once the heater is loaded with wood and set afire, the firebox will begin to heat up. And, if built correctly, should continue to heat up to the point at which secondary combustion begins to take place.

Secondary combustion is the burning of the gases contained in wood which takes place at a very high temperature. This is the most desireable type of situation for a couple of reasons.

1. The first one is that when the firebox is hot and secondary combustion is happening, it is then that the least amount of harmful pollutants are released into the outside air via the chimney.
2. The second reason is that when secondary combustion is not happening, only part of the fuel in the heater is being burned. The other part is just escaping out the chimney. It is like paying more for less fuel.

So, once the fire is lit, if at all possible, keep the heater door closed to keep the temperature in the firebox the highest that it can be so that secondary combustion can continue uninterrupted. This way your heater will burn efficiently and cleanly.