I usually buy pre-prepared nuts, so don't need to soak them. When I do buy nuts still inside their shells, I never soak them. This is the first time I have actually heard about doing it. Usually I roast my nuts, if I do anything to them.
That was my first thought too.
On the flip side of this, nuts are very calorific, but the fact that you do not fully digest them means that when eaten whole, a lot of the fat does not get absorbed, which means that you don't gain all that expected extra weight. If you soak them, presumably the fat will get absorbed as well.