While working on the current story, one should also figure out what he has to do for the next story. Is this good advice? I am skeptical and I would have asked about priorioties of the task given to my manager but at this point it seems pointless to reason things with him that's why asking it here.
With what we have here, this advice seems... weird to me. It's very common for engineers to be placed on 2 completely separate projects. In that case, it's quite possible for the 2 stories you need to do in a sprint to be completely unrelated.
That being said, here are some ways I can see this advice making sense:
Assuming good intent on your manager's behalf (and they're not just saying something to blame you), I could see this advice making sense in the scenario where you're working on a larger project, where there is a benefit to anticipating challenges and addressing them proactively.
Think about this as an extreme version of the Pareto Principle (aka 80/20 rule):
Can you spend 10 minutes discussing the next few stories in your docket with some people on the team who you respect? That 10 min conversation can change how you approach the problem and how you think about the priority.
If you look at the past few months of your work, can you think of instances where this kind of conversation ("planning") could have helped?