Because your valuable data gets locked to a company, and you may or may not be able to get it back in the future depending on how much they care, and want to give support.
Something like Thunderbird works better in two ways. First, it's cross platform. If you decide you want to run OSX or Linux, you can take your mail with you, and it'll be a familiar interface. Second, if Thunderbird ever ceases development. you can keep it going yourself by writing code, or paying someone else to. Odds are, there'll be enough people that want to do what you want, that you won't have to code, or pay anybody. The point is, the program's yours do do as you see fit. Your data won't be held hostage to the whims of a company whose main motivation is profit.
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