When you add a bunch of controls at once, including multiple sections, the result is a lot of controls. At a glance, the sections they belong to may not be easy to discern.
For example, in the case of adding controls for the whole dataFields group, InfoPath places a Products section within the Suppliers section — in accordance with the data structure established in the data source. It's not easy telling these sections apart.
Using borders and shading, you can highlight sections of the form to set them off from other sections, making them easier to see and use.
When you also add section headings, a user can make out parts of the form at a glance.