Why Scotland and Wales? In part, because they don't want their countries, which have much lower figures than England, swamping by eejit English day-trippers piling into their Chelsea tractors and taking the 'travel for exercise' as a green-light to drive to climb bleeding Snowdon again!
Scotland shares a border with one of the currently worst affected areas of England and Wales isn't that far from another - it would take very little cross-border movement to move the infection as well. The leaders of those countries can't control English rules and English movement, but they can extend their own lockdowns to maintain their travel ban and to restrict the number of their own population who come into contact when those restrictions are ignored.
It is also, as was mentioned upthread, the case that the devolved nations have totally different demographics and capacity than England. ICU capacity, as stated above, in the North of Scotland is a completely different animal than in, say, Manchester.
I've no doubt that politics, particularly for Nicola Sturgeon, is a factor, but they have the right to make the decision and I can see why they are. (And, for clarity, I live in England, and the closest 'claim' to any of the other UK nations I have is Scottish grandparents on one side and an Irish great-grandma on the other.)