Because the alternative is often much worse.
Several months ago, I got a bug report that if you launched mmsys.cpl then set the “Select” sound to a value, then cleared the sound, the reporters application would ding whenever you moved around their tree control.
I dug into the problem a bit and discovered that the problem was actually in the Windows common controls. Under some circumstances the common controls would call PlaySound specifying a sound alias and the SND_ASYNC and SND_ALIAS flags only.
The problem with this is that if you specify SND_ALIAS without also specifying SND_NODEFAULT, the PlaySound API decides that you really want the sound to be played and it will play the default “ding” sound instead.
From the PlaySound API’s point of view this makes sense. After all, you asked the API to play a sound, it doesn’t know that you meant “only play this sound when the sound file represented by the alias exists”.
In fact, that’s the entire reason for the SND_NODEFAULT flag – it lets the PlaySound API that you only want to play a sound when the sound has been defined.