I believe most people use grids because then you are also elligible for all the awards that go with grid collection.

Of course, now that I think about it, if you use LotW or QSL cards, you pretty much get the grid for free no matter what - so honestly maybe grid exchange is popular just because it's quick and straight forward, and works best for people that are listening to ongoing QSOs and need specific grids?

--Roy K3RLD