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The "why" is easy.  Because it makes moderating some subs easier.  Let's say I run a Pro X sub, and people from the Anti-X sub keep showing up and harssing people.  I can pre-emptively have a better experience for my user by not allowing anybody from the anti-x sub from posting.
If you think that is right or wrong, that's a different question, but the "why" is "it pre-emptively bans a number of users who you would have to ban anyways"
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I have a dummy account I use to test mod stuff, and just now I used it to confirm that a message must be sent to a user when they are banned from a sub. It is not possible to issue a ban for what you describe, or for any other reason, without messaging the banned user.
Since Reddit requires a message to be sent, even if the subreddit doesn't want to send one when it bans you, it's safe to assume that this does not violate the harassment policy. >

Why would you ban someone for posting in another subreddit though?