You can follow someone off-server and just do it on the web and on the app. However, servers don't always know about every address on every other server.
Copy/pasting the address means your server is guaranteed to find the right person to follow. It's like a backup way of following someone if you can't do it directly.
It's technically the same thing as copy-pasting an email address into Gmail or whatever, people just aren't used to doing it on social media.
