Because mean vector of the above Gaussian becomes stepwise.It causes spectral and F0 discontinuities at the boundaries of HMM states.
The figure in the middle of this poster will help you understand: http://www.sp.nitech.ac.jp/~zen/english/index.php?plugin=attach&refer=Publications%2FInternational%20conferences&openfile=tokuda-beyondHMM-poster.pdf Simon