One of the things I like best about writing short stories is that they give me the freedom to experiment with different genres. As a "new" fiction writer, this really has given me a chance to grow. What do I like and not like to write? Just because I read a lot of, say, science fiction books won't necessarily mean that I will be able to proficiently write a science fiction story.
To continue on that train of thought, writing in any genre takes practice. Since I am a musician, I often equate it to learning a new piece of music. While the basics remain the same, the detail skills needed to play classical music are different from those need to play jazz. Creating a science fiction world is different from creating a fantasy world. Names, lingo, creatures, adventures... all things that need to have subtle differences. Short stories allow you to practice the creation process over and over again without the worry that you're ruining your epic novel.
Short stories will also allow you to delve deeper into a particular genre by experimenting with sub-categories. What are the difference between contemporary fantasy and high fantasy? It's easy enough to rattle off a definition, but much more difficult to try and write a story to those specifications.