It is just a way to do non destructive editing.
Nope, not here, as Kevin flattens all layers at the end of his video (which is
Kevin describes the step of converting to SO 'as an important step' at 2:14 in the clip.
From what I see, there is no difference to running
File>Scripts>Statistics : Median
Load files ...
and, if you want to, converting the flattened file to a SO at the end.
So Kevin, what is 'so important' , or rather what's the benefit over the simpler procedure ?