This is to let the receiver talk back to your provider. The dish is only one way, so when you order Pay Per View and special programming, your provider needs a way to find out. This is why you're told to plug your phone line in, however if you do not order Pay Per View on your receiver, there is actually no need to connect your phone line, despite what your provider might tell you.

The only instance you might be required to plug it in, is when they are doing upgrades or maintenance. In this special case, you should be notified, but otherwise don't worry about it.