Dexamethasone effectively treats the late, inflammatory stage of COVID19 where most virus is dead but still physically present.
The promise of other licensed medications is partially from their antiviral properties which means they're only expected to be effective as early stage medications.
So that's the difference. Different application. In the same way you wouldn't use Dexamethasone as an interchangeable treatment with monoclonal antibodies or remdesivir, which are also early stage treatments.