I reckon the main reason it's in a bag, rather than a box is cost. My parents use FedEx a lot (self employed, sending probably atleast a parcel a day on average), and if you can get the delivery (whatever it might be) into one of their delivery bags it works out a reasonable amount cheaper than it would do otherwise, just because it's their bag. I don't know for sure that DPD is the same, but it wouldn't surprise me.