Lots of reasons, I spose. Since it saves into a project file and not a text file you have a lot more flexibility with how you break up the material. I currently have it broken down into Section ---> Chapter ---> Scene and can freely flick back and forth without delay, and when everything is done it will autocompile the whole thing into a single file of my choice and preformat it for querying if I wish. Another cool thing about keeping your work saved as a project means it can also hold any video, audio, image, or text related reference material inside the the same file as your work, so you can have easy access to that as well.
Plenty of other features, like built in corkboards and outlines (again, all under the same roof), and the "Full Screen" mode which blacks out your screen except for your writing page for a less distracting environment.
I guess it's the ease and simplicity. Nothing I listed above can't be done in Word with some organization and such, but it also can't be done as easily either.