I'm not a user of Dolphin, but an obvious reason is to utilise Steams Big Picture mode as a way to run various emulators. This also opens the possibility of playing over In Home streaming if you have a steam link.

Some setups can be elaborate with Roms listed in Steam / Big Picture with box art, fan art, and various metadata. Software like Steam Rom Manager assist with this.

Considering console emulation is often played with controllers perhaps infront of TV, Steams launcher is probably more suitable for launching emulation than using a keyboard or mouse for a start menu.