Because you might not have unrestricted rights to the files. The Netflix app allows me to download movies to watch offline but they're DRMed and rented to me by Netflix, not owned by me. A Netflix PWA would not allow for such feature.
DRMed content providers might not want to store their files on the normal filesystem because then they might have to answer uncomfortable questions like "why can't I copy this file to X and play it there?" but there's no technical reason they can't do just like every DRMed content provider on normal PC platforms has always done and store encrypted files on the normal filesystem.