Here’s one scenario: If the neutral wire fails somewhere between the receptacle and the panel, then any equipment plugged into any outlet sharing the neutral wire ahead of the break will energize the neutral. So, if you have bootlegged the receptacle ground onto the neutral wire, you now have an energized receptacle ground, which will energize any connected enclosures or ground-connected components of plugged-in equipment. With an independent ground wire running to the panel, a failed neutral wire will not be able to energize ground unless the failure occurs between the neutral bus and the ground spike, which is much more robust than interior wiring.

Because the current wants to run in the direction of infinite electrons, so it’s going to keep going through the panel out to ground, rather than turning around back into the house.