Can I connect this LED drivers Signal and Power Grounds?
It is probably because of signal ground vs. "power" ground. They may internally be interconnected, but for signal quality reasons an internal star point for ground is used. When you connect both terminals together, a relatively large current can flow through the DIM- connection, internally introducing a voltage across PCB traces that may influence or interfere with the amplitude of the controlling signal. All pretty similar to what is called a ground loop