Because most of the receivers I've been looking at only support certain formats. And from what I can tell, if the receiver doesn't support the format you won't get it? So if my game was mixed with DTS which the receiver didn't support, I would only get stereo...I think.
To answer the question "What if the TV doesn't support the audio format?"
When you use HDMI to connect two or more devices to make a chain e.g. source > TV, or source > AV receiver > TV, or (as you are considering) source > TV > AV receiver (via ARC); then one of the things that happens is there's a to-and-fro communication between all the devices in that chain. This is called the HDMI handshake.
This handshake establishes a common set of standards. In the case of source direct to a TV, then the TV will report what sound formats it can accept, and so the source will make sure it only delivers compatible audio.
For example, lets say you are playing a BD disc with DTS Master Audio, but the TV doesn't understand that format. The BD player will down convert the audio to something compatible such as basic stereo with Pro Logic surround encoding.
The TV can deal with that, and also pass that signal to its Optical and ARC connections. The TV then is throttling the audio down to a low standard because it is sitting between the source and the AV receiver. In this way, the TV should always get some form of audio if the receiver isn't on, but it may not be good audio, just something adequate instead.
When you change the order that things are connected, then the behaviour as a result of the handshake changes too.
Connect the source to the AV receiver first, then the receiver to the TV, and the result is very different. Now the source and the receiver can talk almost any audio format. The AV receiver will pass picture only to the TV when the receiver is on. But when the receiver is in standby, then it's as if the TV and source are connected directly.
Avoiding this audio throttling between source and sound system is why those of us interested in getting the best sound prefer to connect the sources to the receiver rather than rely on optical or on ARC from the TV.
All of this communication is the reason why it seems to take an age for the TV to settle down after changing a TV input or the source signal changing resolution. This handshake and a whole bunch of other negotiations happen every time.