Consider the following example of sed with shell expansion:

sed -i "s/FOO/$BAR/g" /etc/baz.conf

That would fail if $BAR contains a path with slashes (/) - the shell paramter expansion would add these slashes to the sed expression and make it invalid.

Instead of escaping the contents of $BAR in these cases, we can actually use another separator instead of /:

sed -i "s~FOO~$BAR~g" /etc/baz.conf

Of course, that doesn’t solve all theoretical problems with the sed separators, but helps a lot if the contents of $BAR are predictable.