First, it's extremely rare (in my experience, anyway) to want to upgrade the CPU of an existing machine without also upgrading the motherboard. Usually by the time CPUs have advanced far enough to justify upgrading, there's also new connectors, faster memory interfaces, etc. out as well that would require a new mobo to take advantage of. If you skip the mobo upgrade and just buy the CPU, you risk just moving the system's performance bottleneck around.
Second, installing the CPU onto the motherboard is easily the trickiest, most delicate part of building your own PC. In an age when everything else plugs together with idiot-proof plugs and sockets, CPUs still have a forest of fragile pins on the bottom that can easily be bent or broken. You also have to manually add thermal protections like fans, heat sinks, thermal paste, etc., which all require selection and installation; if the CPU came pre-installed on the mobo, you could skip all that hassle completely.