To put it in layman terms and explain why this is important. When you use any kind of wallet other than a full node implementation, you unload some tasks to a third party. Web wallets unload practically everything, from control of the private keys to verifying the blockchain.
Even wallets that give users control of the private keys offload certain tasks elsewhere. Lightweight desktop wallets that don’t include the blockchain will at least depend on other nodes or servers to confirm that the chain