There are a few reasons as to why researchers believe desserts should be eaten last. One is related to our primal urge to consume as many calories as we can. The sugar in the dessert tricks our minds into wanting to eat more, even though we maybe satiated by the first course.
Another plausible reason is that our stomachs can only handle so much sugar on a full stomach. The sugar pulls a lot of water into the stomach during digestion to dilute the contents, and ultimately, the effect of the confection is lessened when the stomach is already full.
One theory based in psychology says that its rewards-based thinking that runs counterintuitive to primal logic that would have humans eat the meal with the most calories first. Instead, we like rewards, and so as a treat for good eating habits, we eat the most highly treasured food (a sweet) after our main meal.