I think it comes down to 2 main factors...
1. Price
Buying the parts individually and selecting all the bits you need, without the things you don't, makes for a much more efficient purchase.
I might not need/want that bluray player, but I'm going to have to pay for it.
2. The experience
When you finish your build and you go to fire it up for the first time, there's that moment of dread where time stops for a second and you recall over every little job you've done, making sure it's done right.
When the PC comes to life, the feeling of reward is immense!
You've built to the specs you wanted, in a case you chose, and created your own gaming/workstation PC
The downsides?
Let's be honest, to somebody who's totally new to building, the amount of information (And misinformation) is bewildering.
Take RAM for instance.
For the average non-techy, it would be easy to make the assumption that it takes DDR4 RAM and that's all there is to it!
But then you have to consider which motherboard supports the amount you need, the speeds you need, then there's finding RAM that meets the QVL list at the speeds needed, let alone the timings of said RAM!
For some, it's simply more enjoyable to buy a pre-built machine with warranty and backup, knowing they can simply plug it in, turn it on and everything will be fine.
Even if it's NOT fine, it's not your problem, it's covered by warranty!