Well ... it could be for one or two reasons.
One is the obvious texture - a little "crunch" perhaps?
The other ... in frying .... the batter will "set" from the heat of the oil (assuming you have the oil hot enough - 350-F... 375-F) and the fish will then, more of less, steam inside the crust formed by the batter. You end up with a crispy crust surrounding a tender and flaky piece of fish.
"It ain't what you don't know that gets you in trouble. It's what you know for sure that just ain't so." - Mark Twain