Have you noticed that in evrytime you see a musician recording a song, they keep either one or both hands or their headphones? sometimes it's even jut their fungertips.
Does anybody know
It could go back to a reflex. Singers are told from very early on that you can't hear yourself sing the way that you sound to others, simply because of resonance areas on your head and face that distort the sound to your ears. One of the tricks to combat this is to close one ear with your fingers and sing...then you get a closer sound to what others hear when you sing.
They are probably just used to doing that, even if the head phones are on their head. Especially when you are recording something like an album and you want to make sure that stuff sounds accurate and good to you before you waste the tape if you don't like what you hear in the feedback.
Great topic! Definitely a Crème de la Frème.
In my experience with some cheaper headphones, when I do this I get more bass and a more enclosed sound from them, so I always assumed that's what it was, but studio headphones probably aren't cheap ;)