Why do some many things come with their own wifi module

Like my thermostat. To hook it to the wifi it has two parts. One connected to the furnace board that is the wifi board. Then a second device near my router that bridges the part at the furnace to the router. Why? Why can't the part at the furnace board just connect directly to the router? I have several other things like this, most I don't hook up.

edit Some clarification. Thermostat talks to furnace board via wire. Next to the furnace board is an add on board that is the wifi board. Next to my router is a small box that plugs directly into the router and the power. The wifi board at the furnace talks to this small box to get to the router. Why is the small box needed.

Another example. I am looking at a hot tub. To connect it to the wifi you need two parts. One wired to the tub, and one wired to your router. It talks wirelessly between the two. But why the box near the router, why not go direct from the wifi add on part at the hot tub to the router. Should cost them less.

edit, update: Some have commented they could be using a different protocol and/or frequency that allows greater range and such since they don't need as much bandwidth. This would also reduce frequency conflict with existing wifi devices.

Others pointed out that configuring the wifi connection would require a way to give the board a password. Which they can avoid if they add that wired device that sits next to the router. Customers can interface with that via phone or computer and enter like a serial number for the board that will sync them.

Also, it has been pointed out that newer thermostats often do have direct wifi to the router, so no extra board on the furnace even.