Having your cast lay out straight helps you to gain control of your fly right away. If your cast lays out straight with no slack in the system you are ready to fish your fly right away with no time lost after a straight cast into the wind.
Many anglers can get the fly line and leader to lay out straight in light winds, but when the wind dial cranks up the odds of line let alone the leader laying out straight go way down quick.
A good tip - when making a cast into the wind try to carry all the line you need to cast outside the rod tip during false casting. When it's time to present the cast, form as tight a loop as possible and do not let go of the fly line in your line hand. Continuing to hold on tight to the fly line with your line hand and don't ever let go. This action will continue to keep the rod loaded throughout the entire presentation offering a steady flow of power to the cast to help fight the wind. Practice this and you will see an improvement in your ability to lay your line out straight into the wind.