it is important on things like user adjustment knobs where they are intended to be turned. Your hose connectors are not and because they are not in a "sealed" environment like say the other side of the hoses, there is potential for liquid and particulates to get in there and be held by the lubricant. Water will get "sucked in" when under pressure because the threads are full of air, and when it tries to expand, it may move the lubricant around and cause some of it to get trapped back there.
If you read the manuals from manufacturers like Apeks who are obsessed with lubricating damned near everything, you do not see recommendations for lubricating those threads and I have never seen a technician recommend it. Same reason we don't lubricate the DIN threads on the regulators. Not a good idea