I noticed that too! I really think it adds that extra level of intamacy when you can hear the artist breathing like that, like there's real life in this music.
These gems pop up from time to time. Like at the start of the Climber, and at the end of Sister Madly, when you can hear Neil say something like "yeah that's kinda how it went". That's one recording I would have loved to have been present at, I can just picture them all sniggering at each other.