It allows a shorter ground path by placing a ground rod close to your welder, otherwise the welder would ground though your electrical panel with everything else that's connected.
If you're in a shop with it's own ground and no sensitive electronics then there's no need to worry with the HF ground.... If your welder pulls power from your house where there are televisions, stereo equipment or computers in use, then connecting the HF ground closer than your houses electrical panel will stop (or greatly reduce) the HF from interfering with your sensitive electronics.