This is basically because people can add to their connectable systems for years after their initial purchase. They already have a power pack and so it is unfair to make them pay for another if they just want to add some extra lights. Selling everything separately means that this isn’t an issue.
Connectable lights systems tend to cost slightly more in the short term, due to the power supply being sold separately. However, when connecting longer lengths you will save money as you only require one plug to run your display and do not need to pay for a plug on each set of lights.