Well, some things you certainly could, but this really opens up many more possibilities than is obvious at first glance. Another big thing is convenience, which is along the lines of what you said. Single click to open query editor, full autocomplete, star expansion, etc., easy 2-way communication between a db and Excel (instead of the clunky import/export procedures).

There are a ton of areas where this offers benefits, in larger or smaller ways. It can solve problems people don't even recognize.