Some people simply prefer not to use the NAND. (All flash memory has limited read/write cycles, although most of us will never hit those limits on the Pandora.)
It's a good practice for developers, and other people who make use of opkg. If you fill up your NAND doing this, you pretty much have to reflash. An added bonus of doing dev work from SD, is that you always have a 'fresh' firmware on NAND for testing (if it works there, it will work for other users).
SD is also the way to try other distros like Debian, Arch, Gentoo. And maybe Android some day.