On the left is an area of side-shaded pencil, and on the right is some tip-shaded colored pencil. The paper grain in the side-shaded area is much more obvious, appearing coarser and more open. The tonal range is also more limited. When shading with the tip of a sharp pencil, you can achieve a much richer, denser layer of color. The grain appears finer, and the pencil tip is able to get right into the paper grain, and you can create a broader tonal range.
This doesn't mean that shading with the side of the pencil is wrong - it can be a useful technique for sketching, when you want soft, grainy and even-toned shading.