Why are the page and the lead set up separately?
The embed only puts the calculator on your HighLevel page. The lead travels by a different route: when a visitor submits, the lead is saved in your account and POSTed as JSON to your webhook. Pointing that webhook at a HighLevel inbound webhook trigger is what turns the submission into a contact and workflow run.
This also means the same HighLevel workflow can receive leads from calculators on any site — your HighLevel funnel, a WordPress blog or a direct link in an email. See HighLevel CRM sync for field mapping ideas.