why are we not soldering our cables board to board?Practicality, as suggested above.
Otherwise, it's an excellent thing to do.
Practicality come in when you wan to, say, change a cable, or lengthen, or move the components apart or change one of the components...
...and you know, soldering & de-soldering boards will ultimately make a mess of those boards.
Plus, if the wire used is an expensive designer "cable" (say, Prada :)), you lose much of its resale value!
That's it, really.