I hate being this anal about things, but just because it IS law and that's what law is alllllll about...
The House of Lords technically was never part of the formal court hierarchy. It performed a judicial function, but from outside the official hierarchy. Therefore, TECHNICALLY it couldn't set precedent anyway.
But! Since membership of the Privy Council substantially overlapped that of the judicial function of the HoL, the Privy Council considered itself essentially bound by HoL principles. It was only practical.
In 1940 the Aus HCA said basically the same thing, but specifically in regards to Australian courts. The Chief Justice (Latham, at the time), said:
"It should now be formally decided that it will be a wise general rule of practice that in cases of clear conflict between a decision of the House of Lords and of the High Court, this court, and other courts in Australia, should follow a decision of the House of Lords upon matters of general legal principle."
And another justice in the same case said:
"It is the invariable practice for the Australian courts, including this court, to follow a decision of the House of Lords as of course, without attempting to examine its correctness, although the decision is not technically binding upon them."
Now, for the love of god, I have to stop using useless minutiae as a distraction from actual work...