Twofold: for many, it just looks nice. But for me, having a little margin in between things helps me visually distinguish and makes it easier to look quickly at different windows. This is actually helped with a wallpaper, because it further accentuates the borders of windows. I guess a magenta outline on every window would technically serve the same purpose (the sort of thing you might see on a high-contrast UI), but it's a little less gaudy and a little more visually appealing this way.

I use a subtle (~20%) transparency on inactive windows for that (though with XMonad, not Sway). It helps distinguish windows, lets me see which window is active without having to look for the border, and wastes less space compared to either borders or gaps.

The desktop number 5 with cmus, alsamixer and a terminal music visualizer with gaps and transparency for eye candy.

Not everything needs to have a real use case!