While the most common jellyfin distribution bundles the server and web UI together, the web UI (jellyfin-web) is a separate project from the server (jellyfin) and can be used to connect to multiple backends (which can run on the same or different hosts), which is why that functionality and UI is there. For what its worth, the web client should be autodetecting the server it was bundled with and using it without asking you each time. The only time it didn't do that for me was when my network was misconfigured and some requests were getting swallowed, which confused the client and caused it to fall back to the server-connection UI.