Well, it's partly because of convenience.
But it's also a simple way of increasing the protein in the diet. This is useful when cutting because a pure protein powder does not contain much carbs or fat making it easier to hit your macronutrient goal. During cutting I also feel it's nice to have something sweet like a tasty protein shake to look forward to instead of just tuna, chicken etc.
It's also useful when bulking, an easy way of adding more protein to your diet even when your stuffed with lots of regular food. It's much less satiating to drink protein than to eat the equalient amount in for example beef.
Apart from making life easier whey protein and EAA powders have the ability to raise MPS beyond baseline when taken on an empty stomach.