Why are Capacitors stored with wires connected across their terminals?

Answer 1

Capacitors can become charged if they are not stored this way. This can happen for many reasons, but being near something w/ a high voltage on it like a tv screen is one way. Over time, a capacitor can even become charged by fluctuations in Earth's ambient electrostatic field.

In any event, when this happens, a capacitor can accumulate enough charge to inflict pain and sometimes kill - a 20 joule shock is enough to endanger life and is well within the range for many off the shelf capacitors.

Connecting the terminals as you describe "shorts" the capacitor and it can't accumulate charge as described above. Never handle a capacitor that hasn't been stored this way.

Answer 2

Safety! A capacitor can charge itself up just from stray static charge in the room, or can spontaneously recharge partially after use. It only takes a cap about as big as a soda can to give a lethal shock.