You will also screw it up if you don't do it like this, because if you cook the soft things first, they will mush while the other parts are still hard. Cooking is always experience and tasting while doing it. And it can vary a lot based on ingredients of the day.
It's not really that hard to get it right though, just by touching it it's easy to see that a zucchini will cook faster than fennel.
Generally the recipe will tell you to cook the fennel first, though, and will give timings so you can get it right. The problem with prep-on-demand is that if you start cooking the fennel and then are unable to prep the zucchini fast enough to add it at the right time then you're stuffed. If you prep everything in advance then the worst that happens is you stand around with nothing to do for 5 minutes until the time to add the zucchini arrives -- so for an inexperienced cook it's more reliable and less stressful.
> if you start cooking the fennel and then are unable to prep the zucchini fast enough to add it at the right time then you're stuffed
Not really, cooking is not baking (where you need to control the process tightly), you always have much more leeway (except for marginal conditions like things burning). Especially with harder vegetables, which have a long range from hard over al dente to soft but still nice. Unless you have to fulfill some Michelin style quality control, you won't have that problem.
It's not really that hard to get it right though, just by touching it it's easy to see that a zucchini will cook faster than fennel.