Because that way a generic error printer can render out something like

error: Connection error (could not connect to foo)
  caused by: io error (ECONNRESET)

instead of

error: io error (io error (ECONNRESET))
  caused by: io error (ECONNRESET)

Which is what I'm observing frustratingly commonly.

MyErrorEnum::Io(std::io::Error) ではなく MyErrorEnum::ConnectionError(std::io::Error) のようにすべきで、前者のような情報を加えないラッパーは面倒という話。
たしかに。