It's more than a convention. It's presented as the default way to do it in the official docs. https://reactjs.org/docs/forms.html#controlled-components
For simple username/password entry I see no reason to use a controlled component.
In general, though, there are solid reasons to use this pattern in React. With uncontrolled components, you won’t be able to use React to do form validation or AJAX form submission. You would need to bypass the React virtual DOM and attach listeners on the actual DOM elements.
The only thing it affects is your ability to change the input's data via a state change, but for a password field would you ever want to do anything but get its current value or clear it?
And yes, for password inputs, I can’t think of a case where you would absolutely need to control the value via React. Things like password confirmation validation and password strength indicators can be implemented via onChange and onBlur. It’s more tedious than the normal controlled input pattern, but given vulnerabilities like this one, it’s likely worth creating reusable uncontrolled inputs.