I'm guessing there's some science or research behind this, but I agree. Similarly, I've had projects where I did everything fairly solo—programmed, designed ux/ui, maybe validated with users, etc. It was significantly harder, particularly in the phase where you're working between the first two and the idea isn't perfectly set. It worked much better to design, then build in explicit steps, but it was so easy to start coding, have the design looking and feeling okay, then start iterating on the design—but iterating in code rather than Figma or wherever. It's fine for a little while, but you realize you've spent a day (maybe more) doing it in this less efficient way.
It's similar to the 80/20 rule. When you're coding and designing from the hip, you'll do pretty well for awhile, but as you near completion, you can't quite tie up all the loose design ends. That's the part where it's probably better to just design fully to 100% first and then build, which is closer to what happens when the roles are separate. At least in my experience. I will say though that that part where you're designing in code (productively or wastefully) is pretty fun. At least until you hit the wall and get frustrated with how often you've deleted and rewrote the same thing ten times.