There is no mechanical advantage since the mechanical advantage is from the imaginary line directly above the rudder stock to the tip of the handle. Anything aft of the rudder stock is of no advantage.
I see some value for the S curve being a "rudder angle indicator" and it should act to a degree like a balanced rudder would, since some of the rudder will project forward of the rudder stock, and most of the blade will be aft of the rudder stock, would act as a indicator of where it is and what angle the rudder is currently. Still, the bottom of the S could be a J, exiting from the aft edge of the rudder collar and simplify the aft railing manufacture.
I think it is the way it is primarily since it has been the way it is for a while, and they know how to make it that way, and if they changed, people would say "That looks funny, why did you do it that way, and not the S curve way?"