Two reasons I can think of:
- The firmware that's in flash reconfigures the USB GPIOs to work as GPIOs or peripheral pins rather than USB pins. That will obviously break USB connectivity.
- There is no firmware in flash and your OS/PC is somehow very, very slow in detecting USB devices. If there's no firmware in flash, the ROM will do a hard reset every so many seconds, to make sure that there's not a transient error that prevents the chip from booting. That also resets USB. Normally that timeframe is enough to connect to the device and flash it, but theoretically a very slow OS can take so long to detect the device that the watchdog already has reset it.
Btw: If your device has some kind of button that the user can press, perhaps wire that up to GPIO9? In that case, holding the button + powering on the device forces USB download mode. After the device is powered on, you can use the button like normal in your application as well.