The dot marks the start of the winding, nearest the core. Because there is either a bobbin or a thick paper layer on which the coil is wound, the capacitance to the core (which is normally grounded) is both small and reliable. So this is the part that should have the greatest signal voltage. The finish of a winding, without the dot, is at the outside of the coil and can capacitively couple to the rest of the circuit. So it ought naturally be at AC ground potential, shielding the higher signal voltages from either picking up hum and noise, or from coupling to sensitive parts of the rest of the circuit.
Note the similarity to the rule for capacitors, in which the outer foil side should be connected to the lowest impedance, which is ground for power supply capacitors, or (usually) the source rather than the load for caps in the direct signal path.