Yes oil expands when it is hot. A typical coefficient of thermal expansion for automotive engine oil is around 0.0007 per degree C:
http://www.engineeringtoolbox.com/cubical-expansion-coefficients-d_1262.html
If the oil capacity is 4.5 quarts (4.25 liters) and the cold to warm oil temp range is 50 F to 180 F (10 C to 82 C), the volumetric expansion would be 4.5 qts * 72 deg. C change * 0.0007 = 0.223 quarts (0.21 liters).
If the dipstick is calibrated to take 1 quart between min and max, checking oil levels hot vs cold could make a small but measurable difference due to thermal expansion of the oil.
Whether that is the reason for the "check when warm" advice, I don't know. They could obviously calibrate the dipstick to read correctly on a cold engine. However that could limit ability to accurately check the engine oil level when at operating temp.
They could put both hot/cold min/max marks on the dipstick, but that would probably confuse some people.
In general it seems higher performance engines have the "check when warm" procedure. If it's a family car there's obviously no problem checking it when cold -- it will never be on the race track. But if it's a sports-oriented vehicle, checking the oil level at operating temperature is more important.