It matters when using analog signals where you don't want erroneous IR voltage offsets and
noise superimposed on the signals. The classic example would be an audio signal where a few mV
of noise makes the difference between acceptable and unacceptable.
All wires are resistors, just low-valued resistors. Put significant current down a wire and the two
ends are not at the same voltage. If that wire is a ground wire to some analog sensor that
voltage gets added to the signal seen at the Arduino. The worst case would be sharing ground
wires between a motor supply and a high-precision analog sensor. Thus you route the ground
return for the analog sensor separately to any current-carrying ground (such as the supply in
or one carrying significant current/power out.).