The specific issue is the context switch. The compiler, with async is able to be much more performant than the context switch that the OS provides.
Depending on the kind of application you're writing, this is either splitting hairs or very, very important. Applications that handle many (hundreds, 1000s,) of concurrent IO will have a noticeable performance improvement using async versus the OS's context switching.
But, there's a more important thing to consider: "async" in a programming language communicates that a method can block. It allows the caller to start the call and do something while it's waiting for the result, without needing to get into the weeds of threading. Purely relying on the OS for context switching means that it's hard to know what methods block.