There are two key reasons.
Reason 1 is history: web browsers are newer than many applications, meaning that those applications would have to run “natively” (I.E. not in a web browser).
Reason 2, is that web applications are not the most efficient, and don’t necessarily have access to every feature the hardware provides. And for something like a video game, you’d want every bit of performance and efficiency you can get. Or, for a system app, you wouldn’t want to rely on having a full web browser available.
I will also note, that many applications are just webpages bundled with a browser. The most common one is Electron, which is just chromium.
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