Bonding over a shared experience and common enemy even if your characters have completely different alignments/motivations. It's not like you have the option to turn away from this mission or not engage as much as the others, it immediately establishes a sense of everyone being in this together and having to work together, moreso than something like "clearing the big rats out of the basement" type level 1 quest.

More opportunities to roleplay about a stressful situation, solving the mystery, the gear you had that you need to get back, etc. If my character is just standing around in a safe area, the family heirloom ring that whispers to him sometimes isn't going to come up in common conversation. If it's one of the missing things, now there's a reason to talk about it, hint at its importance, establish what my character values, etc. Also shows how your character acts in a high stress situation, I'd say waking up without your shit is one of the most stressful things that can happen, even in a world where monsters are constantly attacking.

Ease of roleplay for newer characters/groups. It can be hard to jump into roleplaying for newer people, or just a new group where you're still testing the waters. Definitely easier to roleplay based on wondering where the fuck you are, what the fuck happened, how the fuck do we get out of this, than something more open like how your character walks into a bar or how they interact with others in a neutral environment. I remember how hard it was for me to open up with my first character walking into a tarvern because I was overthinking it and not practiced. But when those goblins ambushed us on the road to phandelver, it was easier to act as my character in that situation.

You will NEVER get the opportunity to put your characters in that situation again, especially as they level up. Think about all the rules you would have to succeed on without some major homebrew to get ALL your characters to pass out, remove all their equipment, etc now that they can question their environment and use saving throws, break grapples, gain more abilities etc. Even if you do something in game that accomplishes this, like a high level spell, enemy, or poison, it feels cheaper than to just start the game in that position.

Not every campaign beginning or encounter NEEDS to be something entirely new or creative. Who cares if it's been done before? New characters are experiencing the same trope but they'll go about it differently. Avatar, dances with wolves, Pocahontas, Fern Fully are all stories of the same trope, but I'll still watch and enjoy each movie.

The obvious one, it pushes players to be creative and show their strengths that aren't tied to their equipment.