i dunno, i mean it's mainly just a matter of convenience. if someone has 8 synths, it's nice to just have clean, efficient midi connections both ways. when you're running a sequencer from a computer, it's not always midi data being sent out to the synths. unless you want to program notes into the sequencer by hand, the way you record midi tracks is by playing your synth while the sequencer is recording that incoming data. you might also be able to record program changes and other things from your synth, such as pitch bends or modulation, or whatever. if it's an analog style synth, there's gonna be tons of different knobs and sliders and parameters you'd likely want to be tweaking in real time, while you were recording midi tracks. some people have a dedicated midi controller unit (like a phatman) with a bunch of knobs on it, so they can record themselves tweaking different parameters in real time, which affect whatever they set the different knobs to effect--for example, if i'm running a softsynth in my sequencer, i can set the sliders on my hardware synth so they effect a parameter on that softsynth. so if i set one of my sliders to modulate the "cutoff" of the soft-synth's filter, then when my sequencer is recording, i can tweak the slider on my hardware synth, and in real time the sequencer records that incoming data and it effects the sofware synth's filter cutoff (causing that kind of wah-wah effect). then obviously once that's all been recorded, if i play back that midi track, in this case, the software synth will simply play back whatever i recorded, along with the filter-tweaking i just did.
so that's just a basic example of why you want to have your synths connected to the input of your sequencer, it'd just make things a lot easier if you have a bunch of keyboards that you're going to be working with and recording midi data into the sequencer.