To be honest, there's no good reason why the XOR is needed. My suspicion is that, most likely, the designers included it because they thought, "hey, why not? it can't hurt". But if the designers had left out the XOR, everything would have been just fine.
In particular, if PRF() is a secure pseudorandom function, and if we stick with typical parameters, then you are right: we don't need to XOR things, just using U_n would be fine.
As @Thomas Pornin mentions, one could worry about short cycles or entropy loss. It turns out that, if PRF is a secure pseudorandom function (and if we avoid funky parameter choices that no one would ever use in practice), then one can show that these aren't a problem. So the designers would have been perfectly justified to just use U_n.
Now I can imagine some designer might have said, hey, what if the PRF turns out to be flawed, then maybe short cycles or entropy loss could become a problem; to deal with that possibility, maybe it'd be nice to have some fallback, and maybe the XOR could provide some fallback protection even if the PRF is flawed. I could imagine some designer thinking that way. I don't know of any formal basis in support of this (I don't know of any hard evidence that, if the PRF is flawed, then the XOR is likely to be more secure), but I also don't know of any formal basis that would recommend against this. So this seems like a harmless variant. It might help security. I wouldn't rely upon it to help security, and we don't know whether it actually helps, but hey, why not, it's cheap? And if the PRF truly is secure, it doesn't harm anything.
So I can imagine some designer following that thought process when they introduced the XOR. They could have left out the XOR and just used U_n, and that also would have been fine too. Most likely this is just a slight tweak to try to optimize the security of the scheme in the event of an unexpected failure of the PRF.
(There is another possibility. The other possibility is that the designer was confused: namely, that the designer wasn't aware of the results showing that short cycles and entropy loss aren't a problem in practice, if the PRF is secure, and incorrectly thought that it would be insecure to just use U_n. I suppose that's a possibility. But I don't like to assume ignorance when there's an alternative explanation that's perfectly good.)