I agree with GP (retsibsi). The envelope thing says, "I trust you enough to give you a key... but I don't really trust you, so I'm also giving it to you in this weird signed envelope thing." You either trust them or you don't, and you're asking them to do you a favor.

Plus, if they have a sealed envelope with the key, they can get enough information about the key (the key bitting) to make a copy. They don't need to open the envelope, they just need to press the envelope down enough to see the shape of the key.