It's to protect the growing point from frost, the coloured forms are not as hardy as the green form, If it is in a pot you can also place it somewhere more sheltered, in a cold greenhouse or upside of a hedge or wall,

I don't know where you live Weedpatch, but here in West london, I never bother to do that and the purple leaved ones I have are fine. I think, though, in colder parts of the country, it should be done to protect the growing tip, as Plug says. And, when you say yours is variegated, if its the one that's coloured distinctly pink ( not red, actually pink) and lots of it in the variegation, that one is more tender than most - I'd be inclined to move that to a very sheltered spot indeed.

I live in Derbyshire and it can be cold! Strong winds.
I have had some green ones for years and they just look after themselves. The one I am worried about, Dazzler or Sparkler, something like that, is yellow and green. I put a fleece bag over it last year but it suffered quite badly and someone has now said that if I tie the leaves up it will be better. Do I leave it tied up all winter though? My greenhouse is already full.

Yes, you leave it till the weather eases up in the very early spring. I take it you know that you pull the leaves up straight, tie in 4 or 5 places, so its sticking up vertically, and that should do the trick. If its in a pot, move it to a sheltered spot, out of the wind - that bunch of leaves sticking up in the air is prone to being snapped off if in a very windy place.

Thanks. Now I feel confident I know what I'm doing. It is such a lovely plant and has done so well this year it would be a shame if it didn't make it.