The 9219 is a ratiometric device meaning it is constantly dividing the voltage from a sensor by the excitation voltage to get a reading. This allows the device to have consistent readings without a consistent excitation supply.
The calibration procedure mimics this ratiometric behavior by using two DMMs for this measurement. However, the DMMs are not synchronized and may be taking readings at different times. As the internal excitation voltage of the 9219 may not be consistent, these readings may vary.
An external source regulates the voltage and reduces inconsistencies in voltage being supplied. This removes any need for synchronization between DMMs and increases accurate measurements.