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That's basically 2-factor authentication. It's more secure than entering a password. WeChat was also built as a mobile-first app, the desktop experience was an afterthought.

2-factor authentication generally keeps you logged in, instead of forcing you to re-do the authentication every day.

I also find it a hassle. I wonder if they do it because they think it's better security? That a user will always have their cell phone, and logging in on a computer is more rare?

It's for app-lockin. Most people will not uninstall an app after installation. Moreover many new Internet users in China cannot even remember a password that's secure enough.

Afaik iMessage isn't banned.

This is because Apple gave the party the keys to the kingdom.