There is no advantage of using this wallet over creating a proper multisig wallet in Electrum. It is closed source, they don't generate a seed phrase and they say things like this:
Self-custody hardware wallets are a solution, but they come with their own set of challenges. They have a messy user experience, and users are responsible for managing their own setup, security, and backup keys.
Managing your security, keys, seed phrase, etc should not be a problem and looking for a solution to that is creating problems and ways for people to lose their money, just as ledger came up with their recover service, Theya's solution to all this by the way is:
Theya is simplifying the self-custody experience through a mobile-first multisig wallet that families can set up using iPhones and Apple Watches.