There are numerous threads on this on FT. Basically, it's all about marketing, and the airlines would rather sell extra tickets. If some people end up misconnecting or aren't happy about having to change planes, the airlines can live with that in exchange for the extra revenue.

There is one small upside to a direct flight: if you misconnect on a direct flight for any reason (including weather), it is the airline's responsibility to accommodate you. On the other hand, if you have a connection with a different flight number, you're on your own unless it's the airline's fault that you missed your connection (e.g. mechanical or crew delays).