The reason is to prevent email forgery, whereby the email is sent from one domain, but claims to be from another (e.g. paypal.com
):
Forged emails appear to be sent from a legitimate Yahoo email address even though they aren’t, and are used to spread spam and other types of malicious phishing scams. It’s very difficult for the average user to recognize the difference between a legitimate email and a forged one.
To receive responses with an “@yahoo.com” address, either a Reply-To: header or email forwarding from authoritative domains are the suggested options. Bounces should also be managed within your authoritative domains.
Yahoo help
End users and companies all suffer from the high volume of spam and phishing on the Internet. Over the years several methods have been introduced to try and identify when mail from (for example) IRS.GOV really is, or really isn’t coming from the IRS
dmark.org