I think the idea is that you can share these files. You could put an odc on a network share or on SharePoint, have multiple workbooks use the odc file, and if any updates were necessary (like the database moved), then you only have to change it in on place.
Also, if you double click the odc file, it will create a new workbook with that connection and a table. I guess that could be a lean way of sending a workbook that consists of only an external data table to someone with access to the same connection. I haven't used that myself, but, you know, theoretically...
Why did they choose this as the default? I don't know. I wouldn't have. I would have chosen to have the data stored in Excel, but still have the ability to Export an odc for those that want to go that route. I'll bet the vast majority of external data tables have an odc sitting in My Documents and the user isn't even aware of it.
But pre-tablet MS Office seemed to base their design decisions on what their biggest clients wanted. And since there really isn't a cost to the average user (other than warnings they may not understand), why not.