Why is Jimmy Valentine brought to the warden's office?

The warden has received Jimmy Valentine's written and signed pardon from the governor. He sends for Jimmy in order to hand him the official document. This meeting gives author O. Henry an opportunity to present some exposition in the form of dialogue rather than in straightforward expository prose. The dialogue between the two men is more interesting because it is more dramatic. It is more dramatic because there is some conflict in their meeting, and conflict is always the source of drama. For example:

"You're not a bad fellow at heart. Stop cracking safes, and live straight.”

“Me?” said Jimmy, in surprise. “Why, I never cracked a safe in my life.”

“Oh, no,” laughed the warden. “Of course not. Let's see, now. How was it you happened to get sent up on that Springfield job?" 

“Me?” said Jimmy, still blankly virtuous. “Why, warden, I never was in Springfield in my life!”

The reader is informed that Jimmy is a well-known safecracker and is serving time for a job he pulled in Springfield. Not only that, but the dialogue between the two men introduces the theme of "reformation." Jimmy does not appear to take any notice of the warden's advice to stop cracking safes and live straight, but he may have been thinking along those lines already. 

He had served nearly ten months of a four year sentence. He had expected to stay only about three months, at the longest. When a man with as many friends on the outside as Jimmy Valentine had is received in the “stir” it is hardly worth while to cut his hair.

Jimmy may be starting to realize that he could be on a slippery slope. His expertise and activities are becoming common knowledge. His friends on the outside had a hard time getting him pardoned. This was because the governor "balked" at issuing a pardon. The governor probably feared it would look bad for him to hand out a pardon to a notorious criminal. Jimmy's friends might drop him if he becomes too infamous and too much of a problem for them. Jimmy decides not to reform, but he does move to a different territory, change his name, set up what appears to be a legitimate business, and be more cautious about cracking safes. In a sense, he is going partly straight. He has a different identity, and he appears to be an ordinary small-town businessman.

Unexpectedly, Jimmy falls in love and decides to go all the way with his reformation. It helps that his shoe business is successful, so he doesn't have to worry about money. Otherwise it would have been hard for him to give up his criminal career. He begins to realize that the warden was giving him good advice at just the right time when he said,

Brace up, and make a man of yourself. You're not a bad fellow at heart. Stop cracking safes, and live straight.

The warden liked Jimmy. He could see Jimmy's potential to be successful as an honest citizen. With his brains, style, and personality, Jimmy could be even happier and more prosperous as a legitimate businessman than he could ever be as a crook.