I knew I had read the answer to this query somewhere, and today I found it in the programme of the 2006 North American Tour of the bands of the Black Watch & Welsh Guards:

"The squaring of the toes on the spats is another pecularity to the Regiment and is said to represent the bravery and steadfastness of the regiment when fighting in a formed defensive sqaure during the Napoleonic period." (p.22)

Regards,

Todd