There may be times you do not want to be permanently attached to your dog, whether or your safety or for the dog's. Some potential scenarios include falling through ice, encountering a moose, losing control or falling when going downhill, becoming involved in a dog fight, or becoming seriously tangled with another team. When going down steep hills, some skijorers take the line off their belt and simply hold it in their hands in case they need to release their dog in a hurry. Obviously, you want to keep your dog attached to you except in extreme cases, but it's safer to at least have the option of letting go when necessary. The shock cord absorbs the stress of starting or stopping, helping to take the strain off both your own back and your dog's.
Shock cords are also helpful when double-poling.
Walking harnesses also are not suitable for skijoring. Unless you are lucky enough to live in an area where feed stores carry mushing supplies, your best source for a harness is probably a sled dog supplier. Be sure to purchase a harness that fits properly. An ill-fitting harness may chafe the dog or cause muscle strains, and if it causes discomfort, it may also dampen the dog's desire to pull. If you're not sure how to fit a harness, talk to a dog musher or contact a supplier.