I think that it is a mechanical limitation in the game system to encourage players to think about their strategies well in advance. It prevents players from deciding, "oh, I think I'll just back track to that city I just passed and pick up the goods they offer." It also acts as a penalty for instances where you leave a city before remembering that you actually had a delivery there. You need to go to the next town before you can backtrack to the previous city and drop off that load.
Additionally, Iron Dragon is simply a fantasy-skinned version of Empire Builder. I think the movement is explained a little more clearly in the Empire Builder Rules:
"A train may only reverse direction if it is in a city (including all major city mileposts). A train may change direction at a junction during its move. A train may change direction in this way as many times as a player wishes each turn, as long as it still has movement points remaining."
Thematically, the idea is that the train has no reverse gear. It only goes forward. Since it's on a rail, it can only change direction (including reversing direction) when it comes to a junction (where rails cross each other in the wild) or to a rail yard or rail spur (in cities and towns).
If you don't like these small penalizations, or if you feel that your trains have a reverse gear, you can always house-rule your game to allow that. Personally, I like the extra challenge of having constrained movement.