2 Main Reasons:
1) If you fail the MA PE exam twice - you won't be allowed to take it again until you can show the board that you have taken additional continuing education credits, etc
2) You have to submit a pound of engineering calculations, etc to the board for them to review. They then call you in for an interview where they will grill you on your projects/experience etc. before they let you apply to take the PE exam. (I personally know this girl who fainted during the interview because she got so stressed out.) I did not want the aggravation.
If instead you take the exam in CT which does not have any of the above rules and pass, you can then apply for an NCEES (model engineer) record - you then can get reciprocity in Massachusetts without the interview or submitting any work for review.
My guess is that they only interview you if you submit some suspect calcs. I have taken the PE and SE in MA and know a few others who have done the same thing and I have never heard of someone being interviewed.
I'm in MA and have never heard of anyone having to interview with the board.
The application is a pain, but I had assumed it would be similar state to state. I guess I don't really see the benefit of having to renew two licenses continuously just to save a few hours on an application - unless you work in CT of course.