Very sound reasoning, SchmeckFlyer. I'm with you all the way when I need €, CHF, USD and ZAR - the UK spread for Rands is outrageously wide!
I think the answer to your question is (a) distrust - remember when French banks were strikebound and nobody replenished the ATMs? and (b) (on this board) the opportunity to obtain BA Miles.
There are exceptions. There are apparently just 100 Visa-compliant ATMs in the whole of Shanghai. I imagine that's fewer than between Bond Street and Oxford Circus in London and I imagine there will be far fewer in more remote places. So I'll be buying some USD to exchange. Apparently they are more acceptable than £ or €.