Why change to zsh?

If you run the Terminal command that the Zsh shell is requesting when you open the Terminal, then that message will just go away. But, if you wish to remain using the 2007 vintage Bash v3.2.57, then you can insert the following into your Bash dot file (.bash_profile):

export BASH_SILENCE_DEPRECATION_WARNING=1

and once saved, the next launch of the Terminal will be quiet.

Related links:

Use zsh as the default shell on your Mac - Apple Support - https://support.apple.com/HT208050

Dec. 2019 post by VikingOSX on using BASH and general changeover to zsh - https://discussions.apple.com/thread/250911992?answerId=251728977022#251728977022

What is the compelling reason for this change

It is much more current than the version of bash that is included, and a newer version will never be included.

I'm not sure how a statement of facts lends itself to being smug. It's not even alive.

Right now starting macOS Catalina, the default interactive shell is zsh