The wallet.dat file is a database. When the database is opened, other temporary files will also be opened in a given location. That location is usually the Bitcoin Core datadir. However having the temporary database files and the wallet database itself located in two different places may cause issues, especially with unclean shutdowns and moving wallet files. Thus to avoid issues with that, wallets must be in the same directory as the temporary database files, which is the datadir.

This is also why symlinks have also been disallowed. That they were allowed in the past was a bug.