Because instead of just trusting your system, you'd also have to trust an external service to remain honest. CSPRNG is widely deemed acceptable for use as key material (unlike standard PRNGs), so there is no reason to add an external dependency.
Further, sufficiently seeded cryptographically secure RNGs are indistinguishable from true random white noise, so from a practical perspective, there is no point to require "true random".
That seems like a false dichotomy to me unless I were to truly understand the PRNG.
There is always the risk that such a website is, or could become, malicious and save generated numbers for future attacks; or, it could suffer from a hardware, software, or environmental issue that reduces entropy. While I would not fully trust a website-generated random number for anything important; you can XOR a number from a website such as www.random.org with a number from your system's PRNG so that you don't have to fully trust either. Even better, you can XOR again with some dice-generated numbers, your own custom PRNGs, or whatever else you can think of. That way, as long as at least one subset of your sources has sufficient entropy, you are safe.