Basically, when you preload a sound you are doing exactly as it says you are basically preparing the sound in the loading screen. The reason people would preload sounds is if a large amount of sounds will be used and it will keep the game from processing the large amount of data right then and there because that can cause, as little as it may be, a lag spike. By preloading sounds you prevent lag spikes in the game, but furthermore by initiating it at the loading screen I am pretty sure it can be used almost like a variable, so you can quickly reaccess it later on if you need to repeat the same sound, so you don't have to look for it again, same goes with the particles. Mainly though, it is just to prevent lag spikes as little as they may end up being.
Personally I do not use the preload sound feature because I tend not to do jump scare after jump scare in my stories, so I do not need the fluent sound feature, plus all of the sounds I use are .ogg format not the .snt format as used to combine multiple sound files, so the sounds I use dont require preloading due to the small file size, but if you have large, multiple sound files(.snt format files) then I would highly suggest utilization of the preload sound, otherwise if you just intend on using a single sound file, then it is not needed to still make your game great!