It serves several purposes.
1. They are not required to hold employment records on the independant contractors, such as I9s, w4s, etc.
2. They do not need to have unemployment and other state/county/federal mandated insurances.
3. They do not have to withhold or report their earnings/take taxes.
4. Tells you the girl is working for tips and what happens between you and the girl has nothing to do with the establishment so if you aren't happy there is no need to complain to the owner/manager.
5. Trying in vain to disavow any knowledge of any unlawful activities that may transpire, I doubt it will work.
I am sure there are more reasons.