Mostly because a had a catalogue got corrupted and I lost all my edits stored there. The backup was of the corrupted file, so didn't work. That being said, the more recent versions of Lightroom have more error checking and redundancy built in, but I guess now that I've been "biurned", I just don't trust the software anymore.
The workaround you suggest in saving to *.psd is a bit of a cludge, but works, but really no better than the Bridge / ACR route.