The two items are color and resolution. Digital volume controls are a lot better now than they were, but a linear volume control has less chance of muddying the digitial signal, or at least they would with early DAC's.
The other reason is color. Sweetness, bass extension, treble detail.
The idea IMHO, if you ignore the possible (and now small) effects of digital volume controls, is whether it actually sounds BETTER to you. Not measurably better. Pleasurably better.