It’s about trust.

With a full node wallet you need to download and verify the entire Blockchain so that Daedalus can calculate your wallet balances, etc. without relying on anyone else.

With a light wallet you rely on a third party to interact with Blockchain and broadcast your transactions. You must trust this third party to accurately represent your address balances and trust that they are broadcasting your transactions correctly.

Full node wallets also adds the overall decentralization of a Blockchain network by reducing the Network reliance on a third party like Infura or Alchemy.