They can make the phone thinner, but they are only doing that by putting more hardware (a DAC) into the headphone. It's massively duplicating one component for such a negligible advantage.
An advantage I didn't mention in my original comment is: getting rid of cables. Personally, I hate headphone cables. They seem to always be getting tangled up when the headphones aren't in use (meaning I have to mess around untangling them before using them), and always caught on things while I'm wearing them.
Aside from cost, more devices that need to be charged creates more overhead.