The reasons why are classified. Gets into sources and methods.
I think the original demonstration of TEMPEST vulnerabilities was at a computer trade show. One vendor had a device that could tune to the monitors in the other booths by picking up the RF emissions and fine tuning to choose different displays. Now days there are probably many more ways to do this. It could also be something as simple as if they smuggle a cellphone into the SCIF, we dont want the phone, bluetooth, or wifi signals to go anywhere.