This sounded scary to me at first, but in practice I've found it to be the opposite.
Separating css, html, and js makes sense when you're writing a document, and the content is the html and the css is strictly formatting.
It makes less sense when you're writing an app, and the styling of the html is an integral part of what is being created. The javascript works the same way; it's often integral to what's being rendered, not just patchwork adding small amounts of functionality to an existing document.
But probably most importantly is that react gives you a different way of separating concerns: it's very easy to put different chunks of the UI into different components/files, so your app is divided by functionality, instead of divided by technology. Keeping the html (and sometimes css) with the js that uses it helps increase the cohesion of small units in your UI that intimately work with each other, while separating those from other js/html/css for other units.
Separating css, html, and js makes sense when you're writing a document, and the content is the html and the css is strictly formatting.
It makes less sense when you're writing an app, and the styling of the html is an integral part of what is being created. The javascript works the same way; it's often integral to what's being rendered, not just patchwork adding small amounts of functionality to an existing document.
But probably most importantly is that react gives you a different way of separating concerns: it's very easy to put different chunks of the UI into different components/files, so your app is divided by functionality, instead of divided by technology. Keeping the html (and sometimes css) with the js that uses it helps increase the cohesion of small units in your UI that intimately work with each other, while separating those from other js/html/css for other units.