Some worlds in VRChat are over 300MB and can take a while to download. When you're hanging out with friends and suddenly decide to go check out a new world together, it's annoying to have to abruptly cut off all conversation and wait in the loading menu for everyone to load in. It is much easier to just tell everyone in the room to predownload the world you're about to go to, then once everyone loaded it, go in, and show there instantly, while still being able to chat while loading.