The first time someone showed me this locking method, I had to stare at it for a long time. I reluctantly walked away from my bike trying to solve the 3-dimensional logic puzzle in my head.
“How can you secure a bike without locking around the frame?” I thought. Turns out, this is actually more secure than what I was doing before, which was basically locking the frame near the headset. This secures both the frame and the rear wheel.
Still not convinced? Mission Bicycle explains the whole thing.
Update: If you can, locking around the frame and wheel is always better, but if you’re limited in options this will do the job. If someone really wants your frame, they can do some damage and saw through the wheel to get at your bike, as neocoffeeboss points out: