This is not actually a completely new product, they are mostly reusing the infrastructure of Azure Virtual Desktop. The difference is that Azure Virtual Desktop is for enterprise, this is (also) for personal use.
As for why you would want this, this allows you to have access to all your files and applications even if you don't have your own devices with you. You might even access your Windows desktop from a phone. In enterprise, it's used to make sure that an employee can sit at any computer and still have a dedicated work environment.