Because connections create heat. When current is pushed through a wire, it generates heat. The longer the wire, the greater the resistance and the more heat is generated.
A connection like a plug is less efficient than a solid length of wire, because the connection is imperfect. The more connections there are, the more heat is generated, even more than if it were just a length of uninterrupted wire.
Increasing the diameter of the wire, or the surface area of the connection reduces this effect. Therefore, a wire with a fixed diameter has a limit to the length it can be, and the current it can carry. The more connections you make, the lower this limit gets. At some point, the heat generated can reach the ignition temperatures of the various materials.
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