Why do the valves need to be adjusted?

The valve clearances determine, to a degree, when the valves open and close, how long they stay open, and how far they open. Your engine "breathes" through the valves, as these are the openings that allow the air/fuel mixture from the carburetors (intake valves) into the combustion chamber and for the piston to expel what's left after that combustion takes place (exhaust valves) out through the exhaust pipe, to make room for the next fresh charge of air/fuel mixture.

Technical stuff aside, the most important reason to adjust the valves on the 250 is that the parts inside the combustion chamber (valve heads and/or valve seats on the cylinder head) wear at a faster rate than the parts under the valve cover (valve nibs, rocker arm pads, cam lobes, tappet screws).

Still too technical. Translation: The cam lobes and the rocker faces that slide against the cam lobes are made of a hardened material and don't wear very much. The bulk of the wear from the Ninja 250 comes from the face of the valves and the valve seats. As those wear out, the tip of the valve gets closer to the rocker arm, which tightens up the clearance.

Simpler translation: The valve clearances get tighter (on the 250) as you rack up the miles, and if they get so tight that there's zero clearance, they'll melt.

The valves need to fully contact the valve seats to get rid of some of the intense heat (through conduction) that builds up in them, or they're toast. Many engines are just the opposite, in the fact that clearances get looser and start to make more noise because the parts listed above are reversed as far as wear rates are concerned.

This starts with the first (500 mile) service. Many, many club riders have reported all or most of their valves being too tight at 600 miles.

The engine will likely run noticeably better after you've adjusted the valves. Don't accept a first maintenance which doesn't at least include a valve check. And if you buy a bike used, assume it's never had one done.