It is because this is the final part of the burning process which 'seals' the data onto the disc - which is why it won't work if this action is not completed.
Verifying and finalising are two different things. Verifying just checks what is written to the disk afgainst the original version. Finalise 'seals' the CD/DVD so no more data can be written.
A non-finalised disk can still be verified.
A disk that fails to verify can be finalised. It's unlikely to play though.
Simon D. You seem to be looking at things back to front. As Catso says, verifying checks that the content of the CD is correct. If there is something wrong with the CD, then the verify will fail BECAUSE there's something wrong with the CD. The problem with the CD is DIAGNOSED by the verify procedure, not CAUSED by it!
If the CD hasn't burnt properly for any reason, the verify will fail. Often a CD will play fine without verification. The verfying just tells you that there are problems before you get to your CD/DVD player.
As UB says, it could be either, Verifying is not part of the burn process, it is just checking the contents of the CD after the burn has taken place - so that you know whether or not you have a usable CD while you're still in a position to do something about it (i.e. write another CD!)