Title pretty much says it all, but here is a picture just in case:
I think it has to do with the wall achors but I can't find a definitive answer.
Just to clarify: steel frames for masonry walls only have a single return/backend.
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Stiffness is one reason, but not exactly in the way that was mentioned above. That return will prevent waviness as viewed from the room.
Also, raw edges are ugly, even if they return into the wall. They're difficult to caulk, too, as there's no real bond surface--the caulk just falls behind if there's a gap.