Why do I need to to connect the BitBox02 to show a receive address?

The BitBox02 hardware wallet makes it save to use cryptocurrencies, even if you have a virus on your computer. As a general rule: always trust the screen of the BitBox02 over anything else.

This is the reason why it's risky to generate a receive address in BitBoxApp. It's very easy for a virus on your computer to change the address shown to an address that does not belong to you, but is under the control of the virus author. All receive addresses need to be verified on the BitBox02 to make sure that they really belong to you.

See How to receive payments on your BitBox02? for more information about receiving cryptocurrency payments.