This is important for two reasons. First, it sharpens your readerly attention now. Having formulated what’s bothering you, you have it clearly in your mind, and so when you return to the text you will be readier to note anything that answers your question or eliminates your confusion. Second, it’s a mnemonic device: the written-out question allows you at some later point to recapture what you were experiencing when you first read a passage—something that’s intrinsically interesting but also often quite useful.