Planes use “lift” created from the air they move through to fly and therefore need the horizontal motion to create this lift. This is why they have wings
The “lift” is a force created by the pressure difference across the wing due entirely to their horizontal motion through the air.
Rockets are designed to fly in space / low atmosphere and so they cannot rely on lift from air pressure / horizontal motion. Therefore they do not have wings and can go straight up.
Being in air is actually pretty undesirable for rockets as they move so fast that the air friction generates a lot of heat and resistance to motion, so getting to upper atmosphere/ no air quickly is desireable.
Also, most rockets have liquid oxygen source so there is truly no benefit of flying longer in dense air. Only drawbacks.
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