it stores the header of the highest block you've downloaded, so it can quickly request and validate the next block. Otherwise, as you mentioned, most wallet modifications happen when you perform transactions.
Will
The reason we now store that in the wallet is so that you can swap wallets in and out and they'll know how far back they have to rescan. Before, you had to do a full rescan of the blockchain whenever you swapped your wallet back in and had a transaction to/from the wallet since you swapped it out.