I was always under the impression the rule came from the days when parsing a file without an ending newline was difficult. That is, you would end up writing code where an end of line was defined by the EOL character or EOF. It was just simpler to assume a line ended with EOL.
However I believe the rule is derived from C compilers requiring the newline. And as pointed out on “No newline at end of file” compiler warning, #include will not add a newline.