they might want you to notarize the document with the embassy. I don’t think the embassy could verify this easier, but simply paying for a notary service probably makes it seem more legit.. I also think it adds a level of legal protection for Thailand against you so if for some reason you can’t support yourself they can point the finger at your country and say “hey you notarized this document saying he makes money why is he XYZ issue?”
Also one other idea is the simple request of a notary service adds a logistical and financial step to weed out those that can’t handle it (and thus might not be able to handle living in Thailand) AND those that were lying (they are afraid to go to their country’s embassy to notarize documents).
I don’t know tho. I’m not an expert just pure random speculation here.