Wait, is it .Sheets() or .Worksheets()?
The first thing to note, is that they aren’t language-level keywords, but member calls. If you don’t qualify them, then in the ThisWorkbook module you’ll be referring to Me.Worksheets (i.e. ThisWorkbook.Worksheets), and anywhere else in the VBA project that same code be implicitly referring to ActiveWorkbook.Worksheets: that’s why it’s important to properly qualify member calls. Worksheets is a member of a Workbook object, so you explicitly qualify it with a Workbook object.

Cha-cha-cha-Chaining Calls
... we cast it to a usable compile-time interface (that’s Worksheet), ...
-->  we cast it to a usable compile-time interface (whose known type is of Worksheet),

~~~

... but now you know why, how, and when to dereference a Worksheet object into a local variable
---> After all that's explain above you now know:
        - *why* the recorder is doing this (It blind-pig captures actions without understanding)
        - *how* it works the way it's written (with all its nasty implicit laden pitfalls waiting to be ask about on StackOverflow)

Dim coll As Collection
Set coll = [...]
Dim item As Object
Set item = coll(2)
' this is actually a call to the indexed default member:
Set item = coll.Item(2)