When building a belay with a sling, and tying an overhand knot to create a master point, I’ve seen it stated that you must always have something in all the master point loops. I assume this is to stop the knot coming undone. However, when shortening a sling with an overhand knot to, for example, use on an abseil, it seems to be perfectly acceptable to have your abseil device behind the knot and nothing in the end loop. Why the discrepancy? Is it just because in an abseil situation the loop is longer, thus reducing the chance the knot works undone?
The two situations you compare are not really alike. When you shorten a sling by tying a knot in it, suppose the knot fails -- then the carabiner is still caught in the sling.
Clipping in to the shelf of an anchor is different. In an anchor built out of three pieces, we have 6 strands coming down to the knot. You clip in to the shelf by clipping through one strand from each piece. However, it's effectively random which of the two strands you pick from each piece, because you can't see how they're all threaded through the knot. Depending on which ones you clip in to, you can get different things happening in the case where the knot comes undone. Your biner can either be caught or fall out. (I had to try this with my fingers and a rubber band to make sure I was visualizing it correctly.)
Personally I've never heard this rule stated. It does make at least some sense, but I think the risk is small. When you use an overhand knot in this way, it's a type of offset overhand knot, similar to the offset overhand we use as a bend when joining two ropes together for a long rappel. That is a knot that is secure for safety-critical applications, provided that it's properly dressed and pre-tensioned, and has long tails. The belay anchor is different because it has six strands rather than two, so it's not possible to dress it as neatly. Also, it's pretty common that the loops forming the master point are quite short.
And people may use a figure-eight rather than an overhand, which makes the knot easier to untie after it's been loaded. If you do this, then weighting the shelf without anything in the master point is equivalent to a type of offset figure-eight bend, which is not a safe bend like the offset overhand.