Why are you supposed to wind an electromagnet only one way?
There is one reason to fly-back and wind in the same direction, that is, the subsequent winding knits neatly into the grooves between the turns on the previous winding. It does not seem much but it ends up being a tighter wind  rather than winding in the other direction. 

Ultimately, if the central core is not too small a diameter, you can fit more turns into the same volume.

I have even seen this done winding multiple times then joining the ends over top after all the layers are complete.