Why Do Some People Prefer To Have Milk Added To Coffee Before The Water Is Added?

Generally this issue relates to instant coffee.  If you are making instant coffee then you usually use water which has just been boiled and is exceptionally hot (even though it usually tells you on the instructions that boiling water should not be used).
If you add the very hot water to the coffee granules, then there is a risk that they can be 'scalded' thereby impairing the quality of the taste.
If you add the milk first then you cool the temperature of the water being added, which means the granules are not scalded and taste better and much more creamy.
When making filter coffee this is not such an important issue, because the temperature of the coffee being brewed is lower.
Traditionally, milk was always put in the cup  before tea was poured.  This was not due to flavour, but rather because tea was served in china cups, so there was less risk of  the china cracking if the milk was addded first.