You aren't missing anything, but recursion can get more complicated. In the case of towers of Hanoi, or recursion on trees, the iterative version using a for-loop becomes substantially more complicated than the recursive version.

Also, in Scheme and other functional languages, function calls in the tail position are compiled or otherwise treated as jumps. So in Scheme this will actually produce an infinite loop with no stack overflow:

  (define (loop)
    (loop))
  (loop)