Pollinated flowers soon begin to fade, lose petals and form seedheads, pods or capsules. The plant then develops seeds, slowing growth and additional flower development. Regular deadheading directs energy into stronger growth, improved performance and often repeat flowering.
This group of plants also tends to self-seed around your garden, so deadheading early can prevent unwanted spread. Also note, that some seed heads continue to develop and seed even after removal. Dispose of sead heads carefully so that you don't re-introduce accidentally.
Sometimes seed heads are considered beautiful and should be left on the plant to dry. Hygrangea, allium and grasses often look lovely with faded flower heads intact.