You can start them whenever you want. I will be starting mine inside about 6 weeks before last frost so they will bloom by early summer, as opposed to mid summer if I sowed outside after last frost.

The ulterior motive for many on this site for starting seeds early is for attracting hummingbirds. This most likely only relates to the upper 1/2 to 2/3s of the country since we only see them for a short period of time. In the north its mainly may-august. Those are the peak months though some get them slightly longer. So yes to individuals with those thoughts in mind it does matter when we start our seeds. Many others like myself take it a step further and take cuttings in late summer and winter them over to get a head start on the next hummer season.