For state actors - they frequently have issues "connecting the dots". Or heck - maybe connecting the dots is easy but it's a manual process that introduces too much friction for them to do casually. Maybe some of the data they connect it with is not trustworthy.

If the dots already come pre-connected, it makes the job easier.

Not to mention its value as blackmail material shoots up because it comes pre-associated with your government ID and/or a scan of your face because fewer sources/methods need to be risked.