It's not about wind pressure. It's that the door when properly closed becomes an integral, load-bearing part of the car's structure. In the event of a crash or rollover, an incompletely-closed door makes the car much weaker and less protective of the occupants.
It's about wind pressure only for doors that have the hinge at the back (I think those also have safety systems that prevent them from being opened while the car is moving). For the more common ones that have the hinge at the front, wind pressure will actually keep the door closed.
I'm not sure I buy this - how is load being transferred through the door? Surely not through the rubber seals, those have minimal shear strength even when compressed. That leaves the hinges, which are certainly robust enough, and the latch, which unless I'm mistaken is only designed to secure the door from opening (usually they engage with some sort of rod or peg, which can't transfer torsional or axial force (i.e. the latch is free to slide along or around the peg).
