A few very good reasons:
1. It gives you a much cleaner installation. XBMC is a large application, with a relatively complex directory structure, as compared with the one file plus a config file that you need for all other dashboards. The shortcut is only two files, the same as all other dashboards. This has a number of knock-on benefits:-
2. Updating. When you update XBMC you have to delete and replace all of the directories and their contents, and that's much easier to do if the whole thing is contained in a single directory. If you put the entire XBMC directory structure in the location of the dash for your Xbox then you have to remember which directories belong to XBMC, and which were there originally. Given the number of possible locations for hacked dashboards (and remembering that there are no real standards for the hacked dash location) this would make support very difficult. With the shortcut you leave the shortcut exactly as it is, and simply delete and replace the contents of the XBMC directory, usually in E:\Apps\XBMC\.
3. Testing and Rollback. You can have as many copies of XBMC on your Xbox as you like, just with different directory names. That allows you to install and test a new version, for example in E:\Apps\XBMCnew\. Once you're happy with it you can just rename your current XBMC directory E:\Apps\XBMCold\, and rename the new directory E:\Apps\XBMC\, and the new version is now your dash. If you change your mind you can just swap the directory names back again. Note that you can achieve the same result by simply editing the shortcut .cfg file instead of renaming the directories.
4. Replacing XBMC as your dash. If you want to revert to another dash but still retain XBMC as an app you just replace the two shortcut files. XBMC is still installed in E:\Apps\XBMC\, and is still available as an application, complete with all of your configurations and tweaks.
5. Scripted dashboard switching from menus and installation disks. You can switch dashboards just by editing or replacing the shortcut config file. This makes scripted dashboard switching really simple.