I don't know what the conventional wisdom on this is, but the only reason I can think of for doing it this way is that when you make the final connection, a small spark sometimes results. This could ignite hydrogen from around the battery causing an explosion, so this final connection should be somewhere else on the body instead. Since the body is pretty much always negative, this means doing the positive connection first.
In practice, I'm not sure how much of risk there would be in connecting the negative terminals of the two batteries to each other, although hydrogen evolution can be a real problem when charging batteries.
Joe