When-issued trading gives a live market estimate of where the auction should clear. If the auction stops at a higher yield than that, the Treasury had to offer a concession and the auction tailed. If it stops at a lower yield, the auction stopped through, which is a strong result.
Tails matter because they are a clean, unambiguous demand signal measured in basis points rather than in ratios. A large tail at the long end often drags the entire curve higher in yield and weighs on equities in the same minute.
Example: when-issued 30-year trades at 4.420% at 12:59pm. The auction stops at 4.443%. That is a 2.3 basis point tail, big by long-bond standards, and the futures contract typically drops half a point on the print.
Related: treasury-auction, when-issued, bid-to-cover, primary-dealer