In most yoga poses, we are reminded to relax our shoulder muscles. I don't understand: why do we have tension then? It seems to be a natural inclination to make them active in these poses, so why is it wrong to keep them tense? And why is it a natural reflex to have them tense?
Fundamentally, this is a matter of that yoga is fundamentally a combination of exercise and relaxation. Moving into, and through, the poses exercises your body because it has to work to maintain the positions, countering the forces of gravity on your body. Thus, your muscles, including your shoulders in any pose where you're supporting your weight on your arms, will tense during the poses and their transitions. However, part of the point of yoga is relaxation, and far too many of us carry tension in our shoulders, so they specifically encourage people to release tension there. This also has the potential benefit of getting people to use their entire body to support themselves in the poses rather than putting the stress on a few overused joints.
In addition, although this may just be my personal experience, if you're supporting yourself in a position with your arms, you're often in a situation where a good bit of your bodyweight is pushing your upper body and head toward the floor. If your shoulder cramps up, the resultant spill could cause additional injury between your head potentially striking the floor and the contortions you automatically go into on your already-stressed shoulder to prevent the fall can screw that part of your body up too. Yoga is not an injury-free exercise, even when you're under proper guidance and respecting your body's limits.