You would only check for nulls "everywhere" if all functions could potentially return null. Then, indeed, there is no difference. But (hopefully) not all functions will return null, so you'll probably have at most a single-digit percentage of functions that do.
The point is that by using Option, you are explicitly stating "This function can return null", making it impossible for the caller to ignore. If you write it somewhere into the docs, it is indeed easy to overlook.
This may not be as relevant when you are only working with your own code, but I find this (and static typing in general) most helpful when dealing with code from someone else, including the libraries one uses.