Simply because I’m much more used to C++ than Python 
And PyTorch is the only big framework to provide that possibility (TensorFlow doesn’t offer C++ model generation+training for instance).
Why full C++ support is relevant : python is the de-facto language for data scientists, but more and more desktop app developers are coming to deep learning, including for training models, and those desktop app developers are usually more familiar with C++ than python (you don’t code software in python).
For instance my desktop app 7 is entirely in C++ and I know exactly how to format data in C++, but I have zero clue in python, and I’m not a big fan of type-less languages too. Not judging python here, but it’s really not my cup of tea and I know I’m not the only one 
Another argument for that: I’m also generating and managing my training data in C++. So it’s a consistent pipeline from end to end, from data generation and management, to training, to implementation in the end-user software.