It's not just about the joining, it's anything - joining, leaving, pitting, etc.
If you have limited qualification time and you waste 2 or 3 minutes because someone takes ages to connect, you lose at least 1 lap. Repeat that a couple of times and you lose quite a lot.
Likewise, if you want to change your setup, you are dependant on the connecting player having the connection/computer to connect quickly. Again, a loss of time.
And of course if you want to leave a race, you can't just leave. This is the one I understand least, since all it needs to do is drop the connection.
Seems to me it'd make much more sense for the connecting player to be made to wait rather than the players already competing. Still, I'm sure this is due for a revamp soon anyway.