|My reason are personal preference.|
I like my desktops as they give a lot of flexibility in terms of upgrades and even adding additional hardware such as extra hard drives, additional PCI-E cards and other features.
Replacing something like your optical drive you can do by buying standard stock components instead of expensive bespoke tailored to fit components.
With all-in-ones there is a comparative lack of upgradeability or hardware customization.
Having said that all-in-ones are better than laptops which are hardly upgradeable. The only parts that can be changed is a limited set of miniPCI cards where they are equipped.
Smaller packages also have significant heat dissipation issues and can sometimes have noisy fans to manage that.
Replacing parts may also be an issue but I am talking blind here as I don't have personal experience.
You may well have to simply replace the whole. For example what would happen if the screen broke? How expensive would it be to replace?
These are just a few random thoughts to answer your question.
☺ When everything else fails, read the instructions.