Because a lot of people find the whole "you're on your own, do whatever" concept scary and intimidating. Bethesda games are basically the only ones who do this, and unless you've played them before, many find it pretty daunting. Having a set focus, a la the first bit of the main quest, gives people an objective to the town, where they meet people, get quests and to which they then get a sense of the world. Then they decide to continue with the MQ, explore, go off and do other quests etc. It's no different to Oblivion just that the first stages are guided instead of marked as a marker.
It's more of a distance thing really. Riverwood was just around the corner, with a quaint little road leading to it, with a guy following you telling you he's help you out. Weylon Priory was a fair bit away from the sewers, at least for those who weren't aware you could fast travel there. Plus there's a big ayleid ruin not 50 meters from your standing position guarded by bandits. It's a small difference, yeah, but an
important one.