Having Swan manage your third key (cloud key) provides increased security and convenience when moving funds. In a traditional multisig set-up, you would have to travel to each key location and consolidate your keys, increasing the risk to single-point-failure due to malicious (e.g. theft) and non-malicious (e.g. natural disaster) attack vectors.
With the Swan Vault, you can move funds using one of the keys you hold locally and your cloud key. This setup provides convenience and helps to reduce security risks and localized disasters from impacting you.
There is also a 72-hour security hold before any transactions involving your cloud key are broadcast to the Bitcoin network. This acts as an additional safeguard.