An electric motor needs more current on startup to overcome inertia. While the low setting will likely start a brand new fan (example: unplugging it and plugging it back in on the low setting), it may not start an old fan that has more friction from worn bearings, etc. Even on a new fan, internal heat generated from this slow startup on the low setting may reduce the life of the motor.
If the friction was high and the low setting did not start the fan, the motor would burn up rather quickly because the current would stay high and there would be no cooling from rotation. If that same worn out fan was started on high it may have been fine because the current to maintain rpm on the low setting would be much less than startup and the cooling would be present.
So essentially the Off > 3 > 2 > 1 sequence is a very low cost way to ensure that 95% of the time the user toggles through the full power setting 3 to get to the lower power settings. This brief full power on startup helps get the motor to full speed quickly and increase the overall reliability of the product.