The time-honored reason is to hide information from the players. You need to refer to the floors plan and adventure text, and want to avoid they will accidentally learn things that their characters know nothing about. I think this is a valid argument for a screen.
DM Screen is licensed under CC-BY 4.0.
The second common reason, and a special case of hiding information, is to hide die rolls from the players. Supposedly Gary Gygax said that a DM only rolls dice because of the noise they make. You can fudge your rolls so the epic villain in the final showdown is not taken out by the first banishment, or so the third critical in a row will not kill an unlucky player character. The value of this is questionable. Players love it if they take out the villain without breaking a sweat, and death is for the most part reversible in D&D. Most of the time going with the dice is more interesting. Fudging also smacks of railroading, forcing your dramatic direction on the players. If you roll in the open, players know they are fully in charge of their own destiny. I do roll behind my screen just for convenience.
Some DMs prefer to make rolls for the PCs behind the screen. For example when characters have to make spot checks for an ambush, or when they search for secret doors. This makes sense to withold information their characters do not have from the player, but it puts additional work on the DM. And the DM is already is the time-limiting bottleneck. The more tasks you can delegate to the players to keep things flowing, the better. There are good discussions about this -- in my mind the light is not worth the candle. Give the players something to do.
I think biggest benefit of a DM screen is to provide information to the DM. On the inside of the screen you can post tables and charts that help you look up rules. My screen has four clear plastic pockets on the inside, and I populate them as follows:
Actions. A screen with combat and movement rules, actions, skills, conditions, exhaustion levels, overland travel, environment conditions. Things you need to speed up play in combat, wilderness or the dungeon.
Goods. A screen with prices and weights for nearly everything: weapons, armor, equipment, kits, services, hirelings, poisons, common magic items and special substances, siege equipment, trade goods, vehicles and buildings. Things you normally need to speed up play in town when your players go shopping.
But last, and maybe the most important point of the DM screen is to provide inspiration to the DM.
You can post materials to the screen to help your creativity -- NPC names for different races, or tables of dungeon dressings and wilderness sights. I use the followin chart, to create rich descriptions of dungeons or encounters on the fly. It can also help while designing and stocking dungeons.
Creation. A screen with condensed rules for creating monsters, stocking dungeons, and word tables of non-magical treasure, room furnishings, NPC personalities, tricks, traps, or special features.
The core structure of your adventure is defined by your map, key, and encounter tables. These will be minimalistic as you can improvise detail on the spot. The challenge with such improvisation is to not fall back into the same old tropes that come to mind first for you. You don't want all your bartenders to be the same fat, jovial guy, nor all your empty dungeon rooms to be just dusty rooms with an old bucket or rusty, broken dagger.
Tables of words can help spawn ideas - just glance and pick a couple (or maybe roll to select a few). So now your barkeep is kind and peaceful - a former friar who fell in love and gave up the oath. So an empty room now has a mural of a fungi forest, from which there seems to come a faint hissing sound.
Then think about what could have been causing this, and how it works in the context of the dungeon. This creates a lot of new ideas on the spot. Is there a hidden crack, where a hissing spider nests? Who created the mural? And it makes an otherwise boring room into something to explore.
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