Shaping them off the bow, on separate dowels removes any risk of damaging the bow itself while filing/rasping. Also, if you cock up one of the nocks you don't have to go to lengths to get it off the bow, while possibly risking the limb to start again.
It's very, very easy to be shaping away with a rasp and without realising gouge a lump out of the bow limb - at the least it will look horrible with a big hole in the bow limb, and at worst could ruin the limb itself!
It also depends how you prepare the bow before adding the nocks - if you leave the tips wide and thick then glue the raw nock on, it's relatively easy to shape the limb and nock together, leaving a nice smooth transition, but if you tiller right up to final dimensions before adding the nocks and the limbs and tips are already small enough, adding nocks and then having to reduce and sort out the transition area could result in the limbs getting too small!
It's all preference, ain't it