I always do that, otherwise I couldn't check if everything is in place before finishing...
But why does it need to be? I always do the nut last. You can always make a nut to fit during any time of the process. I dont see why it would NEED to be done before.
Well, I never said that it needs to be done, is just a personal choice.
I'm not an experienced builder, so I feel better if I check that everything works before spend two months in the finishing process. Having the nut in place allows me to string the guitar, place the bridge correctly, check intonation, check neck straightness, check frets levelling, etc...
Of course you can do it later, but I prefer to do it before.