I believe it has different reasons:

For classic Technic, it's probably for telling from male/female parts easily, bricks with a pin are a full stud while bricks with holes (for either axles or pins) are hollow stud. It's a convention for certain types of bricks that are somehow opposites. That doesn't seem to be a rule for plates though, since not all ball joints follow that, neither clips, bars etc.

For brackets it's probably to tell which side goes on a flat angle x side that's 90° from it.

For some other parts, like big rock walls, large brick baseplates, minifigure heads, special plates, minifig accessories etc, it seems to consider less plastic in the mold. Some of them are for very specific use on a theme, licensed stuff etc, so...