When trying to connect the app to web.whatsapp.com, the app insists to "unlock to link a device", meaning I get the same screen as when I turn my phone's screen on after it sleeps.
I know other WhatsApp users don't need to do that, they get right into the QR screen without any security measures.
So why does it happen?
To me it seems like the authentication for linking a device is meant to be rolled out to everyone. If someone does not have it yet, it's because a) he might not have updated the app yet or b) WhatsApp is publishing its new versions as a staged rollout, so not everyone is going to get it the same time.
The need for authenticating before linking is also described in WhatsApp's help center, which leads to the conclusion above.
Q & A