Why one file is easier to share
A page split into index.html, style.css and script.js only works while all three travel together and keep their relative positions. Email one of them, upload just the HTML, or open it from a chat app's download folder, and the page loses its styling or behaviour. A single-file HTML page has the CSS inside a <style> tag and the JavaScript inside a <script> tag, so there is nothing to lose: it opens the same from a USB stick, an email attachment or a link.
How the combiner handles a full page
If the HTML you paste is a complete document, the combiner removes the <link rel="stylesheet"> and <script src> tags that point at local files (because their contents are now inline), keeps anything loaded from a CDN, puts your CSS at the end of <head> and your script at the end of <body> — the position where the DOM already exists when it runs. If you paste only body markup, it wraps it in a proper document with the charset and viewport tags.
Images and fonts
Text assets inline easily; binary ones need encoding. Convert small images and icons with image to Base64 and paste the data URI into your src. For a site with many large images, skip inlining and upload the folder as a ZIP instead — HTMLtoLink serves every file at its original path.