Because it's very simple and complete program. It requires almost no knowledge of anything programming related, you put in text "here", the computer show you the text you put in "there".
Then you can store it as a variable and pass it to the function introduce functions, variables and parameters etc.
Maybe you want to change it from text to numbers, you can introduce operators and types etc.
And while doing things like that you can verify the correct output from the simple "Hello World" thing you learned first, no need for "advanced" debugging, "Hello World" part will shows you the result of your program.
As for the text itself I think "Hello World" is simple stupid enough not to be confused with the rest of the code and can be understood without explanation.