Why We Bother Checking
A lot of adults can't fully digest lactose, and the NHS has a good breakdown of how that actually works and what it feels like day to day (link below). If you're one of them, even a small amount hiding in a supplement can cause the exact discomfort you're trying to avoid, which is a fairly rubbish outcome for something meant to help you feel better.
And it's not always about intolerance. Some people just don't want dairy in what they're taking, full stop, whether that's for digestive reasons or personal preference. A clear lactose-free label saves them from squinting at an ingredients panel trying to decode what "milk protein isolate" is doing in a magnesium capsule.
For official UK guidance on lactose intolerance and food labelling, see the NHS page on lactose intolerance and the Food Standards Agency.