why does the power supply for my new Mac have a RJ 45 jack built in?

See the following from Identify the ports on your Mac - Apple Support

On some iMac models, the Ethernet port is located on the computer's power adapter. If your Mac or power adapter doesn't have an Ethernet port, you can use an Ethernet adapter.

To provide an Ethernet based network connection.

So if you want to use an Ethernet connection to connect to a network you can. The 24" iMacs are too narrow to fit an RJ45 jack into the back of the chassis.