Have you ever seen the inside of a book where there's a warning label that says you shouldn't have bought the book if it didn't have a cover?

That's for the same reason. The way books are sold works like this:

1. The publisher prints a whole pile of them.

2. Booksellers order a bunch. Because both publisher and bookseller want to maximize sales and avoid turning away a customer because they don't have enough copies of the book, the bookseller orders more than they expect to sell.

3. Once the sales have tapered off, the bookseller is stuck with unsold merchandise. They could send them back to the publisher, but the last thing in the world the publisher wants is more copies of a product they themselves can mass manufacture. So, instead, the bookseller just destroys them and tells the publisher how many weren't sold so they can be refunded.

4. Of course, a nefarious bookshop could simply claim that the books were unsold and then get to sell books that they didn't pay for and pocket the profit. To prevent that, the publisher requires them to cut the covers off and ship those back. Shipping just the covers is much cheaper than shipping the entire book and serves to ensure that every book was indeed not sold. Then the bookseller trashes the rest of the book.

5. Of course, this scheme only works if the bookseller can't sell a coverless book. So the publisher prints the warning inside the book to remind customers not to buy them like that.