Primary reason: The E3 is a non-intent visa, meaning that you can't apply for the Green Card on it. Your only choice is to convert to H1B first and then apply.
Other reason 1: You can transfer to another job easier while remaining in the US (if they do an H1-transfer). Doing so with the E3 is a huge grey-area with various blogs saying different things.
Other reason 2: If I get fired I have a few days to pack my life and leave the country. With a H1B I recall the period being longer to find another job.