It isn’t just a client right now. Due to CORS restrictions on Lemmy 0.18 instances, wefwef also has a proxy that sits between the PWA and the Lemmy instance.
You don’t need to, but the developer of wefwef encouraged it a few days ago because Wefwef was hitting API limits, so the app wasn’t working for some hours.
If you selfhost it, you won’t ever run into this issue.
There are probably other reasons too. Among them, why not? :)
I was a bit confused because for me a web-client usually means a self-contained app running directly where I need it. But now I understand it's a client that runs on the web(server)