It's because LyX is a structured document editor, and its format is strictly simpler than the full power of TeX. (La)TeX isn't actually that structured, and with the ability to do weird stuff with macros, it becomes impossible to convert losslessly from TeX to any more structured format (e.g. docx; something like ps or pdf is less structured).

In other words, it can't operate on plain LaTeX files because someone not using LyX might edit the files in such a way that LyX can no longer handle them. By using their own format, while they don't prevent someone from editing the file without LyX, they can at least guarantee that a valid LyX file will always be loadable by LyX.