I asked EJ about this, as he played for many years.
At first, I got the “Jeez, who knows? We just always did it!” response. But he did give me an interesting bit of information.
Because so many guys do it that way, some gloves now have a sheath to protect that index finger. He described (graphically) what happens if a ball just skims the top of your glove and you’ve got your finger out there… :eek: