To be clear, you don't have to run things on it, you can stream wirelessly from your PC.

An advantage of a standalone unit is you can take it with you, or for people who don't already have a gaming computer.

You're also asking why not have it plug to a more powerful machine. The answer for that is simple: wires get snagged and pulled on, in practice it's a poor experience (remember, you cannot see the wires when you are wearing the headset).