For Windsurf at least, it makes it easier to control context. I can simply drag and drop a file from the IDE into the chat.

I can also click on a file referenced by the AI and have it open immediately in the IDE so that I can inspect it.

Finally, it is a pain to write long, multi-line prompts in a CLI where you can't easily click around to edit different parts.

The primary weakness I've found in IDE based UI is that it struggles to get through the corporate security in order to run commands.