Because you have to make a choice. If you go to a restaurant and say “I’d like a meal, please” they’ll make you choose one from the menu. It doesn’t matter to them which one you choose, you just have to choose.

In this case, some Lemmy instance needs to be the one where you sign in. Most of them probably don’t care if you choose them or not. But, if you want to use Lemmy, at some point you have to make a choice.