I'm going to assume we're talking about an oven below, but the principle also applies to AC:

A thermostat attached to a device will measure the temperature near the device, which typically is a bit higher elsewhere in the room, even if the sensor is at the air intake.

Also, even when the air temperature in a room reaches 72F, the walls may still be cold. This means that the temperature experienced by a person in the room will be lower than 72F, since the person will be exposed to less infrared radiation than if the room had been at 72F for a longer period of time.

So, if the goal is to reach a stable 72F (as felt by a human), the fastest way is to turn it to maybe 80F, and then turn it down when the temperature feels about right, or even a bit later (due to the thermal mass in the walls, furniture, etc).

If instead, the the temperature is set to 72F from the start, the oven will start to switch on and off quite freqently as air near the sensor reaches ~72F, and the felt temperature in the room will approach 72F assymptotically.

I live in an old house in a place that can get very cold, and I know this first hand.

For a large room where the vent is far away from the sensor I can get behind that.

For a fan forced oven, not so much.