It’s true that you can set the white balance to whatever you like when processing RAW files, but there are still advantages to choosing the setting you want – or you think you will want – on the camera when you shoot.
First, having a close approximation to the color rendering you’re aiming for displayed on the camera will make it much easier to judge the exposure, the composition and a dozen other tiny creative nuances as you take the shot. The same applies to black and white photography incidentally.
Second, when you shoot in RAW, the camera will also embed a JPEG preview based on the camera settings. This is what you will see in browsing software later, up to the point where the software renders its own thumbnail and preview image.
I always recommend shooting RAW+JPEG, by the way, because this gives you an image you can share straight away and a rendering to aim at (and improve on) when you do your RAW processing. (After all, if you can’t improve on the JPEG, where did shooting RAW get you?)
The third reason for setting the right white balance on your camera is what happens when RAW processing software interprets your RAW image. Unless you’re using the camera maker’s own RAW converter, the software will apply a color profile of its own which may or may not match that of the camera maker. Even where Adobe and Capture One offer profiles designed to match the camera’s in-built color styles, they may not be exactly the same.
The real big issues are with white balance. I find Adobe’s Cloudy or Shade presets way to warm even in the conditions they were designed for, and I’m none to convinced about Capture One’s presets, either. Worse, they simulate the camera white balance presets with ‘dirty’ adjustments to the temperature and tint sliders which don’t reflect the settings on the camera. DxO PhotoLab is the only software I’ve seen that handles temperature and tint values ‘honestly’.
What this means is that when you edit a RAW file for white balance, the As Shot setting is the one most likely to reflect the camera’s intended rendering. Experience has taught me that I’m much better off with this as a color rendering starting point than I am leaving the camera white balance on Auto and fixing it later.
So it might seem a bit counter-intuitive too choose a camera setting you can override later anyway, but I still recommend it both as a time-saving step and as a better way to get the white balance you want.