Because the best player in history is becoming a propaganda tool for a very problematic regime. He is joining another top 10 player ever who is doing the same and countless other athletes (all the LIV golfers) and leagues/organizations (F1, WWE, La Liga, etc) in helping Saudia Arabia sportswashing its international image. This is honestly way worse than Qatar owning PSG, the UAE owning City or the Saudis themselves owning Newcastle.
Also, I care because Saudia is giving outrageous amount of money to players that will never provide a monetary ROI. They are willing to burn money to change the perception of the regime AND perhaps control a lot of sports (they are certainly trying with golf). That's the ROI they are after: legitimacy in the market place.
So basically, I care for moral and economic reasons that go far beyond Messi. I do not expect Messi to understand or care about these things. I also do not blame him if he decides to take the outrageous amount of money they are ready to give him.