As an aside: I was helping a friend out who owned a Kindle recently and shocked to learn it can't read mobi or epub. Why would anyone buy such a crap e-reader?
And I use it because it’s got the best hardware experience of the bunch, IMO.
ePubs seem more popular than mobi though, so I think that’s where most of the “converting for kindle” happens.
The point, and imho only point, of Kindle is the tight integration to Amazon store. It is very much dedicated single purpose device for reading Amazon content. I have one and its great; I browse Amazon store on my computer, select a book, and with one click buy the one I want and have it automatically delivered to my Kindle. No need to think about files and formats or copying and converting stuff around.
Kindle does support mobi, but you have to convert epub files (this can't be done through your Kindle email address' convert ability for some reason).
I think the reason is they don't want to make it too easy to buy ebooks elsewhere and read them on the Kindle. Having to use something like Calibre to convert epub to mobi before sending it to a Kindle is just enough hassle and requires enough comfort with technology to make most stick with the easier option of buying ebooks from Amazon.