Many reasons...

If, as Rome, you conquer Sparta, just for example, then there is a culture penalty. At best you will be able to make Sparta content for short bursts because there is a culture penalty and distance to capital penalty. Riots will most likely be frequent when the population gets high.

The city level building equals like 50 or more % of the culture penalty, so when you build your own you will be improving public order greatly AND allowing the next tier of buildings for that settlement.

Don't build a villa if you don't want to, but you will never be able to build higher level markets or sewage/health buildings. It's up to you.