The real reason has been mentioned, but there is also an element of war theatre going on in some cases.
I don’t want to sound like a conspiracy theorist or something and they do wear the vests as necessary personal protective equipment while doing their work, but the mid-shot standing in a public place wearing the blue vest (and possibly a helmet) while doing a segment on the nightly news is at least partly to signal “this is serious and we are actually here, covering it.” They could just call in from a (relatively) safe compound or hotel not requiring any PPE, but they choose to broadcast from outside and to wear the vest, because it delivers a message to viewers at home.
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