Because they want to make sure you are committed to that location.
Regional firms have had decades of people trying to game the recruitment system by thinking if they apply to a less popular office, they can be successful in the recruitment process and then try to upgrade the offer to the office location that actually suits them.
Firms want to recruit people who will train, qualify and stay with that office, and asking this question on an application or at a video interview is a good way of weeding out those people who are not committed to working in that location.