If you disconnect the positive battery terminal first then there is the potential of causing a short and sparks because when you disconnect the positive battery terminal first you could make contact with the wrench to the body of the car or to the engine etc.
That can then create sparks which can burn your hand and possibly cause an explosion of the battery or at least cause sparks to get into your eyes.
You should always disconnect the negative battery terminal first so that you don't cause any sparks and then disconnect the positive battery terminal last.
Then when installing the new battery you should install the battery by connecting the positive battery terminal first and then connect the negative battery terminal.
It's a safety precaution that you should take to avoid injuring or killing yourself and to prevent damage to the battery.