Because you have to download the blockchain. Limited bandwidth or download quota could be problems for some users. If you don't have it opened on "stand by", you'll need to wait hours for it to sync before you can spend your coins.
Is coinbase good? Since so many people are using them, I should give it a go.
Coinbase may be good as a wallet, but it's definitely the worst ( or at least one of the worst ) exchange, their fees are goddamn high and even if you want a refund ( before BTC is send ) they will charge you with an insane fee. I believe that Coinbase is made just for collecting fees, they don't contribute to the community.