Sifting powdered sugar has nothing to do with making fudge specifically, it's more a general recommendation when using powdered sugar. (For those wondering why I'm using the term powdered sugar even though @MonicaCellio asked about confectioner's sugar, see this link https://whatscookingamerica.net/Q-A/sugar.htm. I also didn't know about the similarity / dissimilarity.)
Powdered sugar is finely milled sugar. As soon as sugar is finely milled, it becomes more and more dissoluble in liquids because the sugar crystals within the sugar (simplified explained, more in depth here: https://chemistry.stackexchange.com/questions/104859/sugar-a-molecule-or-crystal) become smaller and smaller. Now the powdered sugar is packaged and sent off to groceries stores around the globe.
The problem with this finely milled sugar is that even the tinniest droplet of water can lead to clumping of the sugar (the very reason why it was milled in the beginning). During manufacture, transportation and being placed in a shelf to be sold, it's not completely guaranteed that no liquids enter the packaging or that the humidity increases. Additionally, as soon as you open the package and store the product privately, the risk of clumping increases further.
So the reason behind sifting powdered sugar is to loosen up possible clumps. By doing so, the powdered sugar is more evenly distributed and dissolved in liquids. This then leads to better tasting end-products as you avoid having sweet spots in your food. (Spots /parts that taste particularly sweet compared to other spots / parts.)
Personally, I only sift powdered sugar when I use excessive amount of it (for example baking a lot of cookies or preparing litres of glazing) or a recipe emphasises it (for example cookies where you don't use granulated sugar but only powdered sugar).