Where validation should be implemented

I think its good practice to perform all validation on your web form, and the framework provides validation controls to do this.
However what is the advantage, reasons etc for doing all validation within the page?  I ask because I have come across some code which defines an 'errormessage' property within a class, and the web form sends all data to this, then checks if the property is blank, if it is then the form must be valid, if not then display to the user the value of the property "Must enter username, password..."
...