In the US, there’s a concern for salmonella or other bacteria and viruses. Factory egg farming is a horror show in regards to overcrowding and hygiene. Sick birds are crammed in with healthy laying birds, and washing the eggs is one of the safest ways to prevent contamination.
It does increase the permeability of the shell, decreasing shelf life and requiring refrigeration.
If your eggs looked like this in the USA, there’s a small but non-zero chance that you’ll shit yourself to death. Probably not, but it’s scary enough.
We could improve factory farming regulations so it’s not a like a Cronenberg movie, but then eggs would be more expensive. And even if we did, and stopped washing our eggs, Americans would still want them to look clean and would still keep them in the fridge because we’ve been conditioned to expect to die on the toilet covered in wet feces if we see bird poop on the eggs.