There are two answers to this question.

Firstly, there's privacy;

Just as we feel uncomfortable eating in the presence of an audience, the Lord also shows us His worldly characteristic by dining behind closed curtains.

Secondly,

It is a well-known fact that insects are often drawn to artificial light. Drawing the curtains and dimming the lights in the sinhasan cuts out such light and therefore insects are not attracted any where near the thar.