If you don't explode and keep the line you can easily modify your sheet by moving the line or changing other settings in the part tree. Once you explode the part the object loses it's intelligence and editing it becomes more difficult.
A lot of other tools in turbocad work similarly. I find that putting all the 2d geometry that control the 3d model on one layer saves me a lot of redrawing time. Although I do sometimes explode parts if I know I am not likely going to need to edit them.