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.
That's called a hash-bang. If you run the script from the shell, it will inspect the first line to figure out what program should be started to interpret the script.
A non Unix based OS will use its own rules for figuring out how to run the script. Windows for example will use the filename extension and the # will cause the first line to be treated as a comment.
If the path to the Python executable is wrong, then naturally the script will fail. It is easy to create links to the actual executable from whatever location is specified by standard convention.
Purpose of #!/usr/bin/python3 shebang