Because those slots were designed for that use? Desktop pci-e slots are designed to support single devices, whereas some m2 slots are designed to support multipurpose wifi/bluetooth by including support for usb in it's pin layout. This is probably a result of how in laptops space is at a premium, whereas desktops don't normally have that limitation. It's possible that in order to allow backward compatibility with all the preexisting pcie cards, usb support needs the external connectors.
It might also be that designing a motherboard with usb thru the pcie lanes would require the pcie slot bandwidth to always be limited to less than the potential bandwidth regardless of if a dual purpose card were installed. ie x8 -> x6 + usb, or x16 -> x14 + usb, whereas an external connector would allow more flexibility, since lanes wouldn't need to be dedicated to usb. Notice how the m2 layouts with usb support are capped at x2 instead of x4
Some users might be upset if their pci-e x4 slot only ran at x2 because it has dedicated usb support.
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Some desktop motherboards are offered with wifi typically using an m2 slot designed for wifi/bluetooth.