Because you want to verify 2FA is set up correctly before you log in again. What if it isn't, and now you're locked out of your account with no backup code?
I tend to use the Google built-in one (which is getting a revamp soon), but I also subscribe to Weather Channel. This is nice because if you subscribe on the web it gets rid of ads on all platforms - Android, iOS, and web. Sometimes there are issues where you have to log out and back in again, but it works.
Installing the PWA is simple (in Chrome). In the URL bar at the right side on the Lemmy homepage, you should see a little install icon that looks like a monitor with a downward facing arrow. Click that, and it will install the site like an app.
Because you want to verify 2FA is set up correctly before you log in again. What if it isn't, and now you're locked out of your account with no backup code?