Well it’s a Best Practice simply because that’s the default when you use the SAVLIB command. However depending on your environment you can save in any order. For example, if your entire save takes 4 hours of downtime but the warehouse wants to login within 1 hour, you can save the warehouse libraries first. When that portion of the save completes, the warehouse can login while the save continues with the remaining libraries. Just be cautious of missing any libraries while your defining the order. Or accidently saving them twice!
Save your main database library first before you let anyone back on the system.