My understanding is that voter registration data is a matter of public record in most (all?) states so the idea that it wouldn’t be a matter of public record north of the border is itself odd to me.
Being on the list makes it a bit more convenient when you go to vote. Since you're on the list, you only need one other piece of photo ID if I recall correctly.
If you're not on the list, the process is a bit longer, requires filling out an attestation and requires more ID. But even so, probably doesn't take more than an extra 5 minutes or so. But if everyone had to do it this way, would certainly slow things down.
So by doing it this way, it makes it fast for folks that aren't jeopardizing their safety by being on an electors list (whose distribution is supposed to be controlled, but I wouldn't count on it being fully confidential); while allowing folks that do need more confidentiality to not be on the list and still be able to vote without undue hassle.
There are many reasons an individual may choose to not be on the list (eg. domestic abuse situations).