Reason:

Under construction signs makes impression that you walk in some construction area and each time you click the link you may expect something will crush, it may be your browser or even your computer. Besides it is very annoying to click on the link and instead of information you expected to see get such sign. Visitors will be disappointed with the Webmaster and the whole website. You reputation will be lost with visitors and high page rank from search engines. Broken links are not acceptable in any website. We know that it is so hard to get everything you want on the server without loose one or two images or even web pages. Especially if you maintain large site with a great number of pages (more then hundred pages) and you update their content regularly it is almost impossible to miss something.

What is Appropriate?

Upload on server and give access to visitors only to those pages, which are actually finished. Get some links checking software and check your website on regularly. Before you uploaded it and after. Some files have the ability just "disappear" during the FTP transfer. It won't happen if you are attentive but erare humanum est which may be translated from Latin as people always make mistakes. That is our nature and that's why we need to check everything over and over again.