Why would a dependent have to file a tax return?

Most likely because they made a few bucks...

If a dependent is claimed on a tax return, they may still be obligated to file a return of their own. Generally, your dependent is required to file a tax return if their income meets certain thresholds. 

If there is no obligation for your dependent to file their own tax return, there is no harm in doing so. Dependents may not e-file their return until they're above 16 years of age but may paper file instead.