One reason would be testing tracking/conversions etc. Wow, never heard of someone getting an AdWords account shut down that.
If you want to check to see if the link works, simply go to your adwords account, click on the campaign, then click on the add that comes up. I've done this many times without any trouble to see if the link is working.
I'd like to know where people get this idea you'll be banned for clicking your own ad. I've done it, never been banned, they charged the 0.10 or 0.50 or whatever.