its easy.
Many components in your pc need different voltages - as your fans are usually at their max at 12v this is the perfect point!
you basically run a 12v power supply & regulate the voltage for other components which need less, for example your cpu. also there are some feedback traces on your motherboard for the voltage regulation. basically would require a shit ton of cables for that. also having the regulation near to the cpu is better.
I mean, have you looked at GPUs? They also have a big VRM section on them.