Looking at the regulations posted by HFCAMPO you see that foreigners need to register when they arrive in a new place in China or their old place after leaving and re-entering China.
But, I think the potential problem for the PSB (and us) is that the local PSB are responsible for checking on the status of the foreigners in their areas of responsibility. If they don't know you are gone then it may be "embarrassing" for them if you then re-appear from overseas or out of Kunming and they have to enter you on their system while it shows you never left.
In more strictly managed PSB system ie in Tianjin it would explain why they want you to let them know you have left their area so they can remove you from the system. Sooner or later Kunming PSB will ask for this too.