Dry vs. wet sanding

Is there any reason that PPG concept can't be sanded dry? I need to knock down some bad orange peel (because I'm still learning how to paint). I was thinking about using some 500 to knock down most of the orange peel, and then move to finer grits (wet) take out the sanding scratches before polishing. It seems like everyone is sanding wet, but why? It's much harder to see what you've done because everything gets covered with white goo. If I sand dry, I can blow the dust away and see what I've got immediately. I do know about guide coat and all of that, but I'm wondering what can go wrong if I make the first pass with 500 dry, and then switch to a finer grit wet?

Thanks,

John