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There are different cellular networks and frequencies in different places so computer manufacturers can't pick one module and expect it to work everywhere. If you're paying for service, you'll want to get the most out of it by having a modem that's up to date and maximally compatible with the network. So it makes sense to get a plugin device or a WiFi mobile hotspot from your carrier. A WiFi mobile hotspot can additionally be used with other devices.
Also mobile network hardware updates at a decent pace so it's nice to be able to update those single purpose devices at their own pace independent of your laptop upgrade.
And then carrier and FCC certification are an extra hassle for laptop makers.
One thing about having a computer on a mobile connection that's not as great as you might think: it's easy for something like a software update to blow through a ton of data and cost a lot of money.