There are a few reasons....
1. Gravity: I do not have my mash tun high enough
2. You have to recirculate the wort before you go to the boil kettle.
a. recirculation helps set the grain bed, it acts as a filter.
b. grain in the boil leads to tannin extraction and other "off" flavors
3. I like to know the volume of wort I am collecting.
Tim