I’m not sure there’s a right or wrong really, positives and negatives to both ways, but I guess the theory is that creates more space in the penalty area for attackers to make runs and get free for a clear header. If you pack the box with more players, you maybe reduce your chances of winning the first header, but also make it much harder for the attacking team to get a clean contact and route to goal.
I think leaving one up is a pointless token gesture, but leaving two or more up gets interesting and makes the opposition think about what they’re going to do in response.