To play devil's advocate... (my real opinions are above)

I think it's primarily a marketing thing. "Direct" flights will come up in CRSes and online travel sites like nwa.com and travelocity before honest connecting flights because (1) they are "direct" (which is supposed to be somehow better), and (2) they usually are a dollar or two cheaper because of the taxes. In theory that helps airlines like NWA sell tickets in markets like NYC where they don't have nonstops to places like California or Vegas.

But there may be regulatory reasons airlines like them, too. This is pure speculation, but I wouldn't be surprised if the airlines can squeeze out more landing rights at certain airports by offering "direct" service to places other than MSP/DTW/MEM (and now IND/MKE). Perhaps somebody with more knoweldge could elaborate (or tell me I'm completely wrong on that).