The shareholders can go and buy a diversified portfolio on their own, by investing in many companies, so they can derisk their portfolio without conglomeration.

If they already own shares of the conglomerating company, its returns will be lower (they don't care that it's less risky; they've diversified already). Similarly, the returns of the company that is now becoming part of the conglomeration will likely be reduced, which negatively affects shareholders of that company.

The benefit is really only for the people whose prospects are deeply tied to this company, and only this company... its management employees, who are compensated by the company (often in the form of stock that they can't sell till they leave, or that vests over a long time frame).