They give me a chance to decide if I can handle it right now and emotionally prepare for what's in the real body of the message if so.
The difference between having and not having them is stark. I've found that even though it's (extremely) difficult emotionally, with them I can often actually engage with the contents without getting totally overwhelmed. Without them I get blindsides and completely discombobulated emotionally, especially when they occur in a context where it's very hard to see them coming. It can take days, sometimes even longer to get myself back to a point where I can stop going over it over and over in my head.
If you'll permit the Star Trek analogy: it's the difference between getting to raise your shields first before the barrage of photon torpedoes hit, and not getting to raise them. Damage might still be substantial in the former case, but it's manageable. Whereas in the latter case it's bye bye to most of the ship, hope you can limp it back to space dock for repairs that might take forever.