If you hold your own keys, you already know the argument. A service that holds something for you is a service that can lose it, be compelled to hand it over, or change the terms. The same logic applies to the notes around your setup: which wallet is which, what the passphrase scheme is, how someone would recover funds if you were not here.
Dash keeps those notes on your own device with no account and real encryption. It also starts by telling you what not to put in it.