Basic throwing and catching skills require to practice. 4-6-year-olds generally struggle with using their opposite, generating force, and getting their body aligned when throwing and catching. Catching takes longer to master but it will come. The net (any obstacle really) allows for the player to focus a little more on where they are throwing and how far/fast they need to throw. Adding the bounce in for the catch is really helpful as it gives the brain more time for processing and more time for the feet to find their spot.
Overall coordination, skill development, and hand-eye progression.
As you and they desire
Play just a little bit past boredom. If you stop the moment they start to lose interest you will delay resilience building and overall grit development. By going a little longer you also extend their attention span. The idea is to avoid making any drills or training with 4-6-year-olds feel like a chore or so boring they never want to do it again. It’s a balancing act and that is where the art of coaching is so important.