Because they provide data that other types of telescopes do not. We have X-ray telescopes. We have infrared telescopes. We have optical telescopes. Also as a bonus, for ground based radio telescopes, we can use them 24/7 instead of waiting for nighttime.
You're right that the majority of Einstein's theories were ultimately thought experiments but getting the parameters correct involved a lot of measurements and experimenting, to get to where tech like GPS and StarLink can be accurate. We were also looking at far away stars for centuries before Einstein so that he could have the environment for his ideas to be discussed, which I was including in my phrasing "looking at things light-years away."
I wasn't saying it to start an argument, though. I wanted to counter the rather dismal view of "why do we need radio telescopes."