The reason is the LaserWriter print driver rounds the width of lines to the nearest 1/300". So even though MacDraw II will allow you to define line widths at greater than .001" precision, the LaserWriter driver will print line widths from MacDraw II no finer than 1/300" of an inch.
Note: MacDraw Pro contains code to override this problem with the LaserWriter driver. MacDraw Pro WILL print lines in their actual pen width.