Probably because the point of the 4+4 CPU pin is to get the power as close as possible to the CPU. If you notice, the 24 pin connector is comparatively really far away. Routing all that power over the motherboard would possibly be more costly (and, have other implications for design) than just using the separate connector.

Just my guess, but 4+4 pulls hundreds of watts in burst workloads. Not sure how much the rest of the motherboard uses in theory, but I imagine it's quite a bit less.