That's their policy. there is no technical reason why, except they want to make a few extra bucks off the process, I guess.
Their technical reason is that they are the only ones keeping a copy of the AES key that's in the yubikey, regular yubikeys need the OTPs to be validated against yubico's service who keeps a copy of the AES key. I don't think it makes much sense but that's the technical reason they advertise.