You need the lighting to match, and if you light the close up first you might find you don't actually have the ability to set your scene lighting to match it. And scene lighting tends to be more important. That's my interpretation of the practice, for the most part. I also tend to shoot wide first, since we can really establish blocking better than if we didn't just do that take.
The changes I make going to close are extremely minor, I know some people do more.
You always shoot the wide first because, if worst comes to worst and that's the only shot you can get, you've at least got the shot and you can move on.
Closeups usually involve substantial tweaking of the lighting to make the actors look their best, or to make the shot look its best, etc. All those lights and stands and flags and scrims and whatnot would all be visible in the shot if you tried to light for the close-up and then tried to shoot the wide.
So normally you light for the wide, shoot it, then adjust the lighting for the closeups as you move in for coverage.
