It's not so much keeping a history, the clips are still loaded. Clip don't leave the Source Monitor until you close them or shut down PP.
The purpose is that you can scroll through them with keyboard shortcuts. It's very efficient to load up a bunch of clips at one, working through them as needed.
There's not much you can do with a multicam clip in the Source Monitor. The normal work flow is to open them in the Multicam Window.
That helps, thanks. I can see how it would be useful sometimes to cycle through them with Shift-3, but other times it's just annoying to keep closing them all. Is there a way to disable this, and make the source monitor only hold one clip at a time?
Actually, in FCP the list of recent clips is in a pop up menu, they can be loaded in all at once. Avid has a similar function. Premiere Pro goes one better by allowing you to cycle through them with next and previous command or go straight to first and last clips. You can Close All clips, but probably not the exact way you want.
Feel free to make a feature request: http://www.adobe.com/go/wish
Here's a screen shot of the options you can create keyboard shortcuts for: