Basically because Prussia developed it as a way of keeping soldiers in rigidly drilled formation advancing in lines towards defensive positions with muskets, because before rifles were common in military advancing in a tightly coordinated firing line in the face defensive musket fire was a devastatingly effective tactic but which required a lot of training and discipline. The Prussian army became famously successful while using it and it became very in style. As rifles became more common on the battlefield and defensive fire became more accurate it became obsolete as a tactic but it stuck as a ceremonial “impressive” looking thing. Now that everyone who remembers it being a real effective combat tactic is long dead and it’s just associated with Nazis and the Soviet Union… Well… It basically just summons images of authoritarian military parades and people who get hard for that kind of thing are still into it and everyone else thinks it’s stupid as hell.
That said, formal marching is still very much a thing in most if not all militaries, and it does tend to focus on rigidity and body control and very purposeful movements. Marching without bending the knees is a semi easy way of simplifying it so that every soldier seems to be moving the same way, which is often the goal of the effect, otherwise you have to train the exact time and angle which people are bending their knees and correcting for people with different length legs.
Thank goodness an expert is here to swat down the drivel a top NATO Admiral is spewing.