Because we only know what the client does, and have no clue on the server side of things, allowing Proton to do any manipulations with the data. Not ideal when you consider it for password storage.
Because non-obvious backdoors can be added to the client that break or circumvent encryption (looking at you, xz), stealing all of your passwords, and no one will be able to raise the alarm just by looking at the server code.
Open-source backend allows to generally avoid this situation, while also potentially rendering you able to self-host if you're paranoid.
This was a real concern with MEGA back in the day (after Kim said you should no longer trust them) and a big reason why I prefer to use standalone client apps that I can control the source of.