Why does light act differently in miniatures?
When objects are very small, every source of illumination will appear to be "extended" - which softens the shadows and makes it harder to see the contours of the surface.
By painting highlights and shadows, you reduce the impact of the extended source. See for example Why don't fluorescent lights produce shadows?
This is probably mainly because of two reasons:
Psychological reasons. You want to see a lot of details on the sculpture, which it might be difficult to do if it is small unless you paint shadows on it. If you took a close-up photo of a miniature it would probably be easier too fool someone that it was real-sized if it didn't have shadows painted on it.
Many materials are semi-translucent and let more light through the thinner they are, so you get subsurface scattering. Hence, for small figures you might be able to "see through" some parts, especially corners and otherwise thin details, which blurs the boundary between enlightened and shadowed parts somewhat. For this reason you might want to enhance those boundaries on some parts of the figure.