I think it's just cause we're used to seeing the tilted verticals on wide angle shots. If you were to look only at the corrected shot, you may not even think it's a wide angle. Sometimes the tilting adds to the shot because its only seen in extreme wide angle pics.

the lens sees what it sees. the mind sees, at least partially, what and how its been enculturated to see. one may be neither more nor less "correct" then the other, each in their own ways.

I had a nice response for you last night but my Internetz connection was having none of it...

The corrected image is what your eye saw when you were at the station.
Whether or not you correct your images depends a lot of personal preference.
 dawsonpbear is correct that some images benefit from the distortion. Some images benefit from the correction.
My advice is to print out a couple of images without correction then correct those images and print them out again and see what you think of them side by side.
Of course, when you crop a corrected image back to rectangular you will lose a bit of data, typically on the sides where the angled empty spaces are, but that is sometimes worth it.