Why would they design it in a manner that requires you to install a server, then run a client? Why didn't, they make it self contained like Boxer or XBMC?
Because most SoCs have a very limited list of codecs and encodes they support. The point of the server-side software is to transcode the video over to a format that is compatible with each device. Another benefit is that the stream can be optimized to the connection that you have when utilizing remote play.
If you have one of the few devices that can truly play all formats, or you have content that is not demanding (divx), you can easily just share the media on your network and playback the content using a SMB-enabled file browser and Dice Player. That is what I do with my SGS2.
The Kindle Fire is maybe not one of these devices except with non-demanding content. The SoC isn't terrible (I can get similar TI stuff to play most of the clips with Dice Player), but the Amazon market lacks any decent media apps. Plex is a really good solution.
One final thing- why isn't there XBMC for Android?
If you look you will find people are working on it, but it is much harder than it was in iOS given the wide variety of devices and SoCs. I hope to see it one day, but we don't need it to play our files. Dice Player on my SGS2 plays more files than the iPad 2 with XBMC.....