Doctrine, regulation, and technical necessity.
We observe that the Russians were the last to issue M1891 Mosin-Nagant rifles with a socket bayonet, when all other militaries had already switched to the more flexible sword-bayonet style.
There are a few marked differences between the two and resulting dispute in military doctrine:
The advantages of sword bayonets over spike bayonets are evident. Where a spike bayonet turns the rifle into a spear, a sword bayonet turns it into a glaive. Unlike spike bayonets, which can be used only for thrusting, sword bayonets can also be used for slashing, except for the épée bayonets. Twisting a sword bayonet in the wound was especially lethal. Before the advent of modern medicine after World War I, a soldier struck by a sword bayonet was very unlikely to survive.
Which makes one argument against the Russian practice obsolete: There was practically no edge to dull.

While the Finnish did use scabbards for this:

This was basically adopted into incrementalist doctrine from the 1881 infantry regulation. Soldiers were to be always ready, no longer in close formation, assumed to repel a cavalry attack – with their pikes/bayonets.
The Russian soldier with the bayonet on his rifle is a prime example of the reach argument in infantry tactics.
The doctrine regarding Russian rifles
Starting from the earlier M1856:
However, bearing in mind that the Russian military were not overly concerned with individual marksmanship and relied instead on massed ‘human wave’ bayonet charges, this potential for inaccuracy did not particularly concern the Tsar’s commanders. (Harriman)
In 1907, a carbine version was issued. Based on the designs of other European carbines, the M1907 had a 51cm barrel and no provision for a bayonet – a reflection of the fact that, at the time, Russian military doctrine required the cavalry to conduct its hand-to-hand fighting with sabre or lance. (Harriman)
In 1904, Russian infantry tactics still followed 19th Century lines, and had not progressed to match the capabilities of modern weapons ... When under fire, soldiers were to run while ‘stooping’, and use terrain for cover where possible. In the attack, Russian tactics called for the use of shock effect. Troops were to fire one rifle volley at the enemy followed by a bayonet charge. (Sisemore 2003: 71; quoted from Harriman)
Summarised here:
Bayonets
The bayonet, known as a shtik in Russian, was a socket type with a quatrefoil ground blade and a flattened, ‘screwdriver’ point. Russia was the last major power to issue a socket-bayonet for its rifles; and the adoption of an old-fashioned socket-bayonet at a time when most other powers were looking to knife-bayonets serves to emphasize the essentially conservative nature of the Russian military. No scabbard was issued, as Russian military doctrine required the bayonet to be affixed to the rifle at all times. The Germans, Austrians and Finns recognized the impracticability of this and issued leather or rolled sheet-steel scabbards for captured bayonets.
The original M1891 bayonet had a locking ring which slipped over the front sight and then turned to the right to secure it on the barrel. There are several different slots which give the blade a different orientation to the muzzle when the blade is fixed. Those bayonets made in Wiener-Neustadt for M1891 rifles captured by the Austrians have straight slots in their sockets. Sometime in 1915, an experimental bayonet designed by E.K. Kabakov was issued in small numbers. This was no more than the blade of a Berdan II bayonet welded to a simplified socket. It was not manufactured in great numbers, however, and suffered from being 44g heavier than the standard M1891 bayonet. While this does not seem a massive increase in weight, it would alter the bullet’s mean point of impact while shooting with the bayonet fixed. When the Soviets modernized the Mosin-Nagant rifle in the 1930s, the rotating locking ring was replaced by a spring-loaded button catch with a chequered head to make the bayonet easier to fix or detach.
Bill Harriman: "The Mosin-Nagant Rifle", Bloomsbury: Oxford, New York, 2016.
The changes of doctrine explained from here:
B.W. Menning: "Bayonets Before Bullets: The Imperial Russian Army, 1861-1914", Indiana University Press: Bloomington, 1992.
To illustrate the difference in contemporary use:
Note that both soldiers are from different branches of the German imperial army. It's just about the bayonets –– and the reach argument respectively the form.
(Klaus Lübbe: "German Uniforms And Bayonets 1841-1945: 676 Pictures Of Soldiers With Their Bayonets", Niemann: Hamburg, 1999.)
Finally, the most important reason is that it is with this exact configuration, with the bayonet attached, that this rifle was broken in. Removing the bayonet would decrease accuracy.
On the other hand, this rifle had some serious drawbacks. First of all, in all patterns prior to M1938 and except for the Cossack rifles, all rifles were intended to be carried and shot only with the bayonet attached. This caused the already long rifle to be almost the same length as the average mans’ height, extremely awkward to maneuver and carry, especially in forests and trenches. All rifles were zeroed in with the bayonet in place, so the removal of the bayonet seriously affected the point of impact and effectively required the rifle to be re-zeroed. Original pattern bayonet mounts were prone to becoming loose during that time, decreasing accuracy further.
Modern Firearms: Mosin-Nagant Rifle