I'm not sure this question is actually on-topic here because you're effectively asking why Apple does something? That said, I offer this answer in the event it is kept open, and because I have worked in the IT Security field.
At the outset, I'm assuming that the email you received was a genuine email from Apple and not a phishing attempt.
The reality is that if someone other than you has requested a password reset, then you should assume they are up to no good. And, if that is the case, how many of your other online services are they also trying to access/reset?
Unfortunately, many online users use the same password for many accounts. And this vulnerability is the number one way that hackers (etc) breach accounts. For example, you would have heard of the iCloud leaks of celebrity photos (known as The Fappening) that occurred in August 2014. While at first it appeared that the fault was somehow related to Apple's iCloud services, after an investigation Apple stated:
The leaked images were the result of compromised accounts, using "a very targeted attack on user names, passwords and security questions, a practice that has become all too common on the Internet". None of the cases we have investigated has resulted from any breach in any of Apple’s systems including iCloud® or Find my iPhone.
Source: Apple Media Advisory
This highlights why Apple would want you to change your password. Say you were being targeted by someone, by obtaining your password from one site they know there's a good chance you've used the same password on another. And if someone has deliberately tried to reset your Apple ID password, then from a risk management perspective you have to assume they've also tried accessing some of your other online services.
So, by Apple telling you reset your password on their service, they are trying to help you manage that risk.
Unfortunately, it's often not just the same password people use on their accounts, but the same security questions, the same recovery emails, etc. So, resetting your password is an excellent precautionary measure to take.
Finally, by Apple stating in their email to reset your password without delay, they are exercising their duty of care and this would be very important in the event of a breach and/or subsequent legal action.
Best Answer
You should ignore this and click cancel. This screen is an undocumented part of Apple's security practices (i.e. they don't mention it in their own documentation anywhere) and it exposes you to the risk that Apple will store, or could compromise (possibly resulting from a warrant/writ) your password for your local device.
This is documented further here https://privacylog.blogspot.com/2019/05/security-flaws-with-apples-two-factor.html