Newborn heads are incredibly large relative to their bodies. They do not have the musculature to support it. So it is very easy for infants to experience hyperflexion of tissues and the spine and cause brain damage. This has been asked on stackexchange before. read more
You want to support the neck/head to prevent the head from moving in an uncontrolled way, which could damage the brain. Neck support could prevent the neck from being injured somehow. For example, if the neck is tilted to one side and a sudden muscle spasm pulls the head in the other direction, the baby could pull a muscle or something like that. read more
Often babies learn to hold their heads up for long periods of time on their own by about 5 or 6 months of age. At this time you can hold them upright and baby can manage her own neck control. However, even at this stage it is a good idea to put a hand behind baby’s head and neck to support her as she goes down toward the floor. Often the action of putting baby down on the floor moves her through a backward motion which can be stressful on the neck. read more
Their neck muscles are not strong enough to support the weight of their head. The head weighs a good portion of their total body weight. If you don't support their head and neck it can pull the base of the head from the spine and cause all kinds of injury to their neck and back. read more