Function of earth screw terminals in power supplies with plastic cases
EMC is the first thought - earthing certain line filters inside the plastic case may be a requirement for correctly using this power supply.

However, the earth symbol has a circle around it so it means "protective earth" (or PE) i.e. it is used for reasons of safety and the circled earth symbol is usually implying that the unit is built and CE marked so, it's mandatory to provide a PE wire.



So, that's its main function but, because it is always required to be connected to a PE, the PE may also be used for EMC reasons and the CE marking/EU directive applied might require it for these secondary reasons.

The unit appears to have  CE mark so check its documentation to see what that says about the PE. As for what it protects, it's possible that the step-down transformer relies on a PE to protect the output circuits from rising to unsafe levels. Maybe the output is actually connected to PE?