1. Safety - To allow the eyes to become acclimated to outside light conditions in case of an evacuation.
2. Safety/Security - So the passengers can be aware of what is going on outside of the aircraft in case of evacuation or security breach.
Other airlines require shades to be raised but not all. I think its a good idea. AirTran also often asks shades to be lowered after block-in to help keep the cabin cool.
I work for Southwest, but the views expressed are my own and do not necessarily represent those of Southwest.