OK, but why? Is this a convention?

It looks better and it saves space.

I'd argue the first is subjective (and I don't think it looks better personally). It's also different to how we use the same punctuation otherwise.

It does save space, but I'd say that's neither here nor there. It isn't like space for an extra period at the end of a sentence was ever at a premium.

At best, for a whole 200+ page book, you'd save a page or so.