There may be nothing wrong with a sentence, but one of the choices may be a bit shorter (i.e. more concise) and correct - in which case that option choice is the better answer. Hence you MUST read all the choices before moving on.
If you read through a sentence and can't find what's wrong with it, do you generally read the other answer choices? I do, but I'm wondering if maybe I shouldn't. I feel like I can always find something better, even if the original choice was correct.