I have noticed this in a couple of scripting languages, but in this example, I am using python. In many tutorials, they would start with #!/usr/bin/python3 on the first line. I don't understand why we have this.

Shouldn't the operating system know it's a python script (obviously it's installed since you are making a reference to it)
What if the user is using a operating system that isn't unix based
The language is installed in a different folder for whatever reason
The user has a different version. Especially when it's not a full version number(Like Python3 vs Python32)

If anything, I could see this breaking the python script because of the listed reasons above.
This line helps find the program executable that will run the script. This shebang notation is fairly standard across most scripting languages (at least as used on grown-up operating systems).
An important aspect of this line is specifying which interpreter will be used. On many development-centered Linux distributions, for example, it is normal to have several versions of python installed at the same time.
Python 2.x and Python 3 are not 100% compatible, so this difference can be very important. So #! /usr/bin/python and #! /usr/bin/python3 are not the same (and neither are quite the same as #! /usr/bin/env python3 as noted elsewhere on this page.
Purpose of #!/usr/bin/python3 shebang