Memories are built and strengthened by referencing multiple senses. This is obvious in terms of using photographs or other images to learn vocabulary.
Associating the image of the banana with the word helps to build a more robust memory about the word. Adding the spoken word helps more. Smelling, touching, and tasting the banana helps even further.
Other senses and sensations contribute to building memories, too. The music you listen to while studying will become ingrained with the study material (language related or otherwise). Also, when and where you study can become part of your memory.
If you study your vocabulary every morning during breakfast, then breakfast becomes part of your vocabulary memory.
But how does this affect your actual learning?
By tying your study to specific time, place, or situations, you do strengthen your recall in those situations, but you also weaken them in other situations!
Have you ever studied a word thoroughly, but then been unable to recall it during conversation? Sometimes in this situation, imagining yourself studying can help you recall the word (I've had this experience).
I've heard on several online language learning groups that learning the language in the same room at approximately the same time everyday is more effective than just randomly timed daily practice.
In direct response to the claim you've heard, this can be true, if your goal is simply to pass the test (and you can take the test in the same environment/situation/location where you study).
If, on the other hand, your goal is to recall and use the language in all situations, you'll do much better to vary your study location and habits as much as possible.