TL;DR: Because web pages are actually applications and opening a pop-up when it's not expected to open can introduce undefined state.
If you open that popup later, it may want to react with the script that tried to show it. But the script execution has now ended and the application will enter a state that could never be entered in a normal application flow, so it's very likely that application can't handle it correctly. What can happen?
- Nothing. It's possible that nothing bad will happen, but you can't be sure.
- Scripts may break, making the application unusable until you refresh the webpage, or sometimes even until you clear your cookies.
- Something unexpected may happen, possibly creating a security flaw.
Exact results of opening a pop-up later can't be predicted programmatically, so IE is just preventing you from breaking something - if you reload a webpage, scripts will be processed again, but with pop-ups appearing in the right moments.