Because, if the HOB ever loses siphon (and they can), there will be nowhere for the water returning from your sump to go - except overflowing the tank and onto your floor. I have never used one, but I have had to baby sit one (135 gallon) a couple of times for a friend of mine when he went out of town. Both times he left me responsible for it, the tank overflowed. HUGE mess. With a drilled overflow, that won't happen. That said, people still continue to use them and while it may work for you most of the time, it is a risk that is really unnecessary these days.
That's not always the case. I have HOB and if you shut the power off it stops. I have the KollerCraft TOM RP3 Overflow Box. It is rated for up to 150g. It self primes. I have had the older one for several years without any problems. But that's just me.