One of the main differences between adults and children learning Chinese is that understanding and explicit knowledge become important. That means that while children can just acquire the language by being exposed to it and interacting with other native speakers, adults benefit more from being able to understand what's going on. However, both processes are necessary for adults, too.
The problem: Implicit knowledge is hard to build
As a native speaker, you might not be able to explain the difference between two words, you just know how they are used and using the wrong one in a certain situation just doesn't feel right. Acquiring this type of knowledge or feel for a language (it's called 语感 in Chinese) is very difficult and require very large amounts of listening and/or reading depending on what kind of knowledge we're talking about.
Think about how much time native speakers spend immersed in the language, then think of your chances as an adult to reproduce this.
Even if you go at it full time for several years, you'll still fall way short of the time native speakers spend.
A shortcut which can sometimes be very valuable is to have the phenomenon explained. This could be the rule that governs how a certain word is used or something else that helps you understand how it works and thereby how to use it yourself. Rather than just doing something enough times, you aid your memory by understanding what you're doing. Instead of writing a character hundreds of times, you use mnemonics and write dozens of times instead. It's not as good, but it's a lot quicker.
In general, the easier and more directly applicable the rule, the better and the more useful it is. Therefore, if there is a relatively simple explanation, it makes sense to learn it and then apply it when you communicate in Mandarin.
A few examples of where understanding really helps
Let's look at a few examples to show you what I mean. 教 is pronounced "jiao", but what tone should it be? You could of course learn all the example cases, but this would be very tedious. If you're a native speaker, you probably get it right without necessarily being able to voice the rule. If you didn't know it already, first tone is usually a verb, whereas the fourth tone is used in nouns.
Another example would be pronunciation. As a native speaker, you don't really need to learn explicitly about the differences between the sounds in Mandarin, but as an adult second language learner, it's very helpful to know how the initials relate to each other.
For example, it's useful to know that x/j/q, s/z/c and sh/zh/ch relate to each other the same way in terms of manner of articulation. The first in each series is a fricative, the second is a non-aspirated affricate and the third is an aspirated affricate.
Now, you don't have to know this to be able to pronounce these nine initials correctly, but it certainly helps for many adults to see the logic behind the system. The same argument can be made for characters. Understanding the functional components of Chinese characters greatly helps your ability to remember how to both read and write them.
You don't need to choose; use both explicit and implicit learning methods
You don't have to choose between implicit and explicit learning methods, the best approach is to use both. Using only an explicit method is doomed to fail for numerous reasons, but mainly because languages are not designed and some things simply are the way they are for no very good reason. It might as well be random.
Even if there is an explanation, it might be very complicated or inaccessible to students. It might also be the case that no-one has actually found a good way of describing the problem you have, so even if you can read research papers in Chinese about it, there might simply be no good answer out there.
Trying to figure out "why" for cases that are too advanced for you is a very good way to waste lots of time without learning anything at all.
Purely implicit learning won't work either
A pure implicit method will probably get you much further, but it suffers from the problem I mentioned at the start of this article: it requires an awful lot of time. If you're going to figure out that the different tones of 教 are determined by the function of the word, you can get most cases right easily. To replicate this effect through exposure only would take a very long time indeed, provided that you're not extremely good at inductive thinking and can find the rule from the cases.
Of course, this method is still better than the purely explicit one because you do learn Mandarin while trying to figure out the patterns, so it's not really a bad method; it's just not optimal. If you need more examples, there are many word/phrase banks to check.
The optimal thing to do is to use both implicit and explicit methods for learning. In general, you can learn basic knowledge early on by simply looking them up or finding explanations for them, then learning nuances and variations through exposure. The first step here is quite easy, but the second will take up the bulk of your study in the long run.
Avoid the extremes, though, don't try to find answers to all your "why" questions and don't think that you will learn everything just by using the language unless you have a lifetime to spend. Make sure you spend most of your time actually learning something, not just looking for answers.
Please visit Chinlingo for Chinese learning.