This is the main reason. There are tens of thousands of antibodies for different epitopes available on the market, and hundreds of dyes, enzymes etc available for detection. Making all combinations would be excessively expensive. Instead it becomes a modular system, where you can choose your primary antibody depending on epitope, and your secondary depending on how you wish to detect it.

You can stain different things in different colors at the same time by using primary antibodies from different species, effectively creating orthogonal "channels".

In some cases, however, the primary-secondary method is inappropriate. For example when doing superresolution microscopy the two antibodies on top of each other can displace the dye too far from the molecule of interest. Then you may need a conjugated primary antibody, or a even smaller single-domain antibody ("nanobody").