If it’s not built to code to code it can pose all sorts of safety hazards to your neighbours or future owners of your property. If you don’t bother getting approval you didn’t bother building it properly either.

At the slightly more silly end, your shed could lower the value of the neighbours property (because it looks like a meth lab, or just a general hillbilly grotto) and the law holds financial harm higher than physical harm most of the time.

Edit: also it’s not just you, it’s any meth head who decides to build their own shed. Laws need to cater for the lowest common denominator.

An electrical fire that starts in your shed isn't confined to your property by magic force fields. Your improperly installed wiring is a threat to the neighborhood.