I suspect that what HTs mean is 'if you really want this school, put it first', on the grounds that if you don't put it first you might get offered another school higher up your list instead.
As understand Dawnraider, that explanation is not correct. Under the English Equal Preference system (it is different in Scotland and Wales) the school never knows where on your list you ranked them.
Each school looks at all the applications made to it, irrespctive of where they have been placed on the preference list. They then assess the applications against their admissions criteria - . Their list will typically offer to Looked After children, then faith, or selctive / siblings / SEN etc and then proximity to the school, and they will place these in a ranked order.
The school then tells the LA which children they can make offers to. The LA looks at all the offers, and automatically selects the offer to the parent from the school which is highest on their preference list. The LA automatically declines all offers from schools lower on the preference list - and these places will then be released for pupils lower down the schools ranked offer list. This process continues by computer until all the parents have an offer and all the schools places have been taken up, and the offers go out.
If a parent has not listed a school which is able to make an offer, based on thier admission criteria, the LA will offer any school in the borough with an available place after all the applicants to that school have been made offers.
This is why it is essential that you do list schools in order of your real prefernce, and it is OK to put your 'long shot' choices first and your 'dead cert closest school' last, for example.
The equal preference system is law, in England.