The rationale is:
A) If how much money you want from us isn't even an option, we don't waste your time. We can be very up-front about that before a lengthy interview process proceeds.
B) We can judge your follow-up interview (generally a full-day paid tryout) against how much you expect to be paid. Which on the negative side lets us weed out expensive mediocrity, or on the positive side, give opportunities to people who aren't quite there yet but wouldn't cost much to take a chance on and try to train up.
A few people definitely look at it with suspicion, but in general I think it's worked out better for everyone.
Also, as an aside, I would take issue with what you said about researching what a company pays. For so many companies (mostly small ones), all you can do is ask around and find a current or former employee who is willing to tell you. And that is so often, for most applicants, not an opportunity you get. I think you're making that research sound much easier than it actually is.