Probably blocks air that would've otherwise passed over the motherboard VRMs. With good case cooling, it probably doesn't matter, but the design is made to accommodate the lowest common denominator.
I never understood why stock coolers have to be so bad. It's not like intel or amd don't have the engineering ability to do the same kind of work noctua does, so why don't they?
I guess the risks here are that the paper cooks off or crisps up over time, the tape plastic or glue melts into the cooler, or the loop becomes dislodged and jams into a fan somewhere, causing an overheat. 3d printed rings might be a good, cheap option if the gap is not too small.
Bit silly that the fan didn't ship with something like this stock.