As CG implied it reduces wear caused by what is called "fretting". ANY slight movement of two metal parts againt each other WILL cause wear. The jam nut stops that movement.

Fretting (or fretting corrosion) refers to corrosion damage at the asperities of contact surfaces. This damage is induced under load and in the presence of repeated relative surface motion, as induced for example by vibration. The ASM Handbook on Fatigue and Fracture defines fretting as: "A special wear process that occurs at the contact area between two materials under load and subject to minute relative motion by vibration or some other force."