Autonomy - walk to the loo and your laptop continues doing it's thing instead of stalling due to the phone getting out of reach. It also makes the phone battery last a bit longer. Performance will be better as well. If you only use mobile data on the device every now and then a tethered phone is fine, if you use it all the time a built-in connection is preferable.

The ability for corporate IT to better control how their devices connect to the internet, and/or not requiring a work phone to be supplied.

I've seen issued laptops coming with cellular data + persistent tunnel as the default connection method over allowing use of client/public/site WiFi networks.