While the oil is cold, the engine is dying. You need to get the oil up to temp as fast as possible. However, if you were to go WOT (which would warm the engine up really fast), the engine would start dying much faster. If you leave it at idle, the engine dies slowly for a long time. So you compromise by using a little throttle to get the oil warm faster but keeping the revs and engine load low to prevent the engine from dying faster.