1. Launching Steam games outside of Steam can be very difficult. Some games outright won't allow it.
2. Steam provides native libraries such as the overlay, networking and matchmaking tools, achievements... You need to have Windows versions of these which wouldn't be distributed by default in the Linux version of Steam.
3. In the past Steam just didn't run under Linux, so you had no other option.

There used to be a time when Steam for Linux didn't exist.