I know that freaks out Republicans who continue to tell themselves they will get annihilated by shutting down the government when they never have been punished for a government shut down.
On top of that, with this shutdown, President Trump can show how orderly and uninvolved a shutdown is. President Obama, upon shutdown, punitively shuttered tourist hotspots, etc. to make it as painful as possible for Republicans. President Trump does not have to do that. He can do other things that do not cause easy media hit jobs.
The President of the United States promised a wall. Democrats and some Republicans in Congress do not want to give him the wall. If he caves now, he will never get his wall. He needs to be willing to shut it all down and punish those who deprive him of his border wall funding.