Why does WETH use a custodian(BitGO) when Ethereum smart contracts can natively hold eth?
It does not.
Custody is about holding a private key (or part of it) on behalf of someone else.
Don't use a custodian service (i.e. BitGo) if you trust your ability to keep your private key safe. Even if you don't have such skills, I suggest learning how to do it, but you can find a custodian service useful in any other case.
Who controls the key, controls the funds (ethers, tokens, etc.) related to that key.
Smart contracts can bind funds to a specific logic to be moved/used.
WETH(*) is a smart contract that supports EIP20. It controls ethers and bonded twin WETH tokens: each ether or part of ether you deposit, you obtain control of the same amount of WETH, and vice-versa.
Following the EIP20 standard, WETH is a clever trick to use ethers as if they were tokens.
But - this is important to understand - WETH does not control those funds. It's the key's owner that controls them. WETH is the logic used to say how those funds can be handled.
(*) = When I say WETH does not control funds, I refer to the smart contract at address 0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2. Other smart contracts can behave differently, even if they have the same name ;) So, you always need to check the real code to understand what a contract does.