Some agents DO prefer to open an escrow early in the short sale process, particularly if they have lost a buyer or buyers before on the property. Opening escrow and requesting a copy of the earnest money check (or even deposit of some earnest money with escrow) prior to short sale approval "vests" the buyer in the property, and exhibits a more serious approach to the process. It's not really a common practice, though it is coming up more often. Per the CA Residential Purchase Agreement and the Short sale Addendum, your EM funds would NOT be in jeopardy if you do not receive short sale approval and/or do not remove your buyer contingencies in writing. And opening escrow, with or without a deposit, allows you receive a HUD or settlement statement from the escrow officer, so you can more accurately plan for your closing expenses.
In this instance, you have to put yourself in the shoes of the listing agent and the seller: Mr. Buyer writes offers on short sales all over town, causing undue grief for a seller when he/she gets a short sale approval, only to find out that Mr. Buyer has moved on and purchased another property without telling anyone. The seller and agent want some security. But putting any money in escrow can be a scary proposition when only about 25% of short sale listings are actually bank-approved and close escrow. Talk openly with your agent, and if possible your agent's broker, and submit only the copy of the earnest money check if at all possible. (If that's really all they're asking for, then no need to worry...it's a very standard procedure to provide this.)
Laura Coffey was right on the button with regard to the importance of receiving and reviewing the HUD...HOA dues and unexpected liens will kill a short sale deal every time if they aren't accounted for early in the transaction. Wishing you all the best of luck!