The reason to do this is the same as the reason for hyperlinked keyphrases. Search engines think that headlines are important, highly relevant text. The more keyphrases you have in your headlines, the more chances you'll have that the search engines will sit up and take notice. Yes, with modifications. This may work for the search engines, but it's horrid for your prospects.
Search engines spider the entire text.
For maximum effectiveness, I would recommend spreading your keyphrases throughout your body copy. This way you're covered with the search engines, and you don't lose your marketing flow from the get-go. If you have a keyphrase line up there, you're breaking up the marketing flow and run the risk of alienating your client. Keyphrases spread throughout the entire body text. Keyphrases within hyperlinks.