When wiring a mains plug, why are the cables squeezed under the screws and not circled around?
It might be important to add a photo of a plug, so us Yanks can understand what you're talking about. 



Based on the image it's clear to see that the terminal screws have no heads, so it's much different from most screw terminals a US user would come across. Terminals like this; even in the US, are designed to clamp a straight bit of wire. With a terminal like this, wrapping the wire around the screw would not allow the screw to clamp the wire at all.