Because the hotel will make more profit from you, you have a higher chance of getting a room upgrade at the property, better amenities or even just better service if you book direct rather than via Expedia.
At hotels that don't have problems selling rooms, they have no reason to offer rooms to travel agents, so you won't see any price discrepancies there. In fact, you probably won't even see the room offered on third party websites.
That means some room may be marked open on one website and another room on another. If there's a large number of rooms open, there may be some overlap... but then overlap means a possibility of overbooking. I've seen the systems that small hotels have to deal with and really I'm surprised we don't run into overbooking more frequently.