Why is that better than regular file attachments?
Sometimes you might need to have different permissions for the connected files, so not all users who access an item should be able to access its connected files. List attachments do not allow you to have that, they get the same permissions as the master list item.
At times you might need different/additional properties for the connected files. You can't have this with list attachments, as they don't have their own properties.
Below is a quick training video demonstrating how to implement a Case Management scenario where users can include multiple connected documents in a case.