They need to in order to not look second-class in terms of chat capabilities. On the other hand, they want to make it clear when you are using ChatGPT, probably not just for privacy reasons, but also so that people blame ChatGPT and not Apple when it gets things wrong.
This may just be me because I'm a heavy ChatGPT user as-is, but I've had my fill of chat capabilities. What I really want is the context awareness, which is what they seemingly delivered on without OpenAI's help!
Note that this is announced as coming in beta this fall, which means they are currently well pre-beta. I would curb my expectations about how well it will work.
