So that you can be identified? (I'm not talking identified in a mathematical sense, but in a informal conversational sense (you know, what usernames are actually used for)). The whole point of a username is that it is the most humanly convenient way to represent a user in text in the context of a certain site.
Because the alternative would be to have thirteen saurik in the same thread debating a topic and you would have no way of distinguishing them. Avatars are an attempt to fix that but it sucks and is bloated for many scenarios.
Sites that do allow you to change username break conversations where people refer to each other using the username (stackoverflow comments are a really common and annoying issue)
Yes, it is annoying when you don't get your first pick but it truly is not a big deal and it solves a real problem.
jay.freeman.178 is an excellent username. You are not your username.