The two main reasons are that built-in lithium batteries always present some degree of fire hazard, and while that can be dangerous, it can also limit some of the spaces where such devices can be used and transported, for example some airline might forbit them on board. The other reason is that all batteries degrade over time, but if you can easily replace them like with AAAs that won’t be a problem, but if they are built-in after a few years you’ll be stuck with a battery in constant need of recharge.