Not just so that you don't lose it in case of an invasion, but it is proof that you would be willing to help out the host country in the case they were invaded. Also, that you would not invade them.

In the olden days, the local lords would marry their children together, to create familial groups and ensure that for the forseeable future the local areas would not have a conflict. Modern democracies don't have such valuable family members, we use valuable objects instead.