My engineering mind just can't come up to terms with this. Why wouldn't you collect all information you possibly can? You can always ignore irrelevant data you have, but you cannot consider data that you don't have!
The closest I've been to rationalizing this: diagnosing is a stochastic process so complex (and with the search space so large) that the random noise in extra data is likely to point you towards wrong directions. Plus you can always collect more data afterwards if your initial diagnosis turns out to be wrong. This is of course very simplified, but it makes sense.
However, I just can't turn off my inner voice from screaming "more data is always better". I guess that's why I'm not an MD :)