Relying on the installed video player could cause you to need multiple players - one to play music, one to play DVDs, one to play videos, and one for streaming - because it can’t handle the files.
These built-in video players/media players only support a limited range of formats, meaning that half of the time you can’t even open the files you need.
Since most computers come installed with a video player, why would anyone hassle with downloading a third-party software? Simple.