The control pad works; some of the games work better as the real thing than they do emulated, nostalgia, prefer to play them as they were (not using cheat saves), doesnt have framerate slide like the emulated ones can, cheap, as the saying goes you cant beat the feel of the original, the original control pad works fine (it was copied for the PS1 for a reason)...
Plenty of reasons.
Yes, the emulated versions have slightly prettier graphics but all in, I think if we're playing these and caring about graphics, I think you're missing the point!
ROMs aren't actually legal either.