I might need to see or enter sensitive data that I don't want everyone else to see (credit card details is an obvious example). If I lose a connection (happens on 4G quite often) then the workstation would be wide open for any period of time.
Khim is right - Windows does this use-case just right. It's streamlined and easy.
On X11 with its vaunted "network transparency" it's simply not possible without bending over backwards.