When starting a turbine helicopter, why should one slowly increase RPM (throttle)?
he probably wanted to make sure the oil pump keeps up with the engine and bearings won't run hot, or that the oil circuit gets primed. turboshaft engines dont like it when running at idle, they tend to overheat; so it better be written somewhere that the engine rpm should be brought up slowly.

is important that whatever procedure, it comes out of the book. I would have expected your captain to direct you to startup procedure then mention the reason, so you could look it up rather than learn it by hearsay.