To make sure you don't get censored by your own relay (through government relay without you knowing about it). If gov is in the middle, you can sign as much as you want. The message is not going out.
Discussion
Yeah, I'm unsure how that could be implemented, unless you're (like SSH haha) encrypting the client<->relay comms (which might also be on top of HTTPS, as most relays run websockets over https) using the server's "known" pubkey
Is there a protocol to make sure the key used for the wss is the expected one? Or is it like https where the client just takes any valid certificate that comes in?