Changing lender after being pre-approved question

[Jeffrey Seid]

I decided to get pre-approved with another bank although I was already pre-underwritten with another institution because they promised much lower rate as well as a big cash back.

My question is: This agent asked me if I could send him my pre-approval letter from the other institution I was pre-approved with along with all my other papers. 

Why the hell would he need my pre-approval letter? If I am getting pre-approved with another institution I expect them to do their own credit check/research.