Some companies provide tax/VAT invoices, which comes in useful for accounting purposes if you're a Thai Co. Ltd. & pay tax - for Joe Doe ordering stuff, it's pretty useless. Nothing to do with spam, phishing, "Lazada f*çked up again" or any of that. Pretty straight forward business stuff.
On a side note, it's absolutely useless to do COD, unless you don't have a THB charge (debit/credit) card. I've ordered tons of stuff; a few times what I received wasn't correct or broken, and I sent it back and always got the full payment returned within a short time. 100%.