Tethering drains your phone battery quite sharply (WiFi + constant 3G data downloading is intense for aphone), meaning that while on the road there's a real chance you will lose phone connectivity as a result of no juice left.
An inbuilt SIM means less hassle and no impact on your phone. Besides, whether you consider it a hassle or not is completely subjective... many people want the option of being able to use a data SIM in a tablet, and some people like myself also get a company data SIM for on the go travelling that they could stick in there at no cost to themselves.
If you don't use it then that's fine and dandy, but there is clearly a market for it based on sales of 3G tablets, and not having the option is a pain for many.