Good question. I probably do it more than others. I guess I'd like to know how that's perceived by the community.
For reference, one of the reasons I became more active in doing this was as a reaction to this post: Why not have new members go through a general introduction page?.
I generally tend to do this while reviewing the First Posts queue that's available to higher rep users. (500 rep and above). The ones that start with "Welcome the site!" (at least from me) are always the ones in the "First Posts" queue, so I'm intentionally focusing on first ever questions or answers from brand new users where the words "Welcome to the site are used. (Most recent example here)
On subsequent posts from users, I have a different set of comments and links to Meta posts ready to address specific issues within each question. (The list of comments I had ready a few months back is here, but it's ever-changing.)
Typically, when reviewing first post, I'm focusing on new users first posts simply because almost EVERYONE (including me) mistakes the purpose of C.SE at first.
I personally think it's helpful because:
Before we (not just me, there are several of us) started doing this, the normal pattern was that new users would come around and, because they were new, nobody corrected them on borderline posts. So they'd post several "Truthy" (or otherwise low-quality/off-topic) questions, and eventually someone would notice the pattern and start voting down, closing questions, and commenting. So the reaction was exactly as Bye's reaction: "I had no clue! Why didn't someone tell me nicely up front?"
I don't see it as scolding. I certainly understand how it can be seen as noise. But I can't think of a more friendly way to introduce new people to the rules.
And, contrary to how it may be perceived, not everyone gets this greeting. On those rare occasions where the first post is exactly on-topic, I tend to not comment, but if the post is questionable, I always use this as a first comment as a gentle introduction to the rules. There are exceptions to this, of course. If you look, you'll see some that I have included statements like "This next has nothing to do with the quality of your post..." I posted one just tonight. Those might be useless noise. I'm not sure, which is why I'm glad you asked.
The reason there are so many comments like this is, from what I can tell, because most first posts are simply not within the guidelines. The standard comments posting to the help and Meta posts are the least snark, most friendly method I can personally think of to educate about the rules, and avoid the whole "Why didn't someone say something" bewilderment.
So officially, my personal opinion is that they are not a bad thing if there's a problem with the initial posts, if they're used as a tool to educate newcomers that show signs of not getting it.
But that's my personal opinion. I am extremely interested in seeing how this is perceived by the rest of the community. If the community hates it, I would hope that instead of a blanket "I hate this" we can come up with better alternatives. Worst case scenario, this may turn out to be something that's noisy and annoying, but that's better than letting bad posts stand, or using a less friendly set of comments to deal with the situation.
As long as there's an alternative that treats the newcomers the way we, personally, would like to be treated, I'm all for it.