Sorry about the n00b question but why is this an option? Is there any caveats to not ending a file with a line break?
This is probably because some other users of files require complete lines
e.g. C code will complain if there is no newline at the end of file - see this SO question
and one main use of Bbedit etc is programming
So the reason is not really specific to the Apple editors mentioned but more for what use the files is made of.
Also see the comment to that question
Not really the reason, but it's very annoying if you cat a file and it does not have a trailing newline as the new shell prompt will appear after the last line of the file (i.e. not in column 0)