The reason is,
if you take a big piece of metal, and you bend it, the outside is longer than the inside, which is stressful to the metal. That makes it harder to do the bend, and it produces wear and tear.
By contrast, if you take a bunch of parallel strands, this isn’t as much of an issue since the strands can just slide next to each other.
Now, I will note that some wires (particularly ones that don’t expect to be bent very often, like the wiring of a house) do use a single, thick piece of metal.
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