Speed of development. It could take months for a PR to get into Lemmy core and then a new release.
Things that get into Lemmy core have to be well thought out and the core Devs have to want them in there.
Running custom code is a way to make changes without having to get their approval, and if it proves popular enough, then maybe they'll implement it upstream.
Part of the issue is that three dot option is pushed off screen for me in very nested comments (like yours). I can only see it comments closer to the root.
It is also nicer to be able to select which text you want to copy.