They are small computers on cards.
CPU? Check.
RAM? Check (often expandable).
OS? Check (firmware).
Peripheral communications capabilities? Check (drive controllers, talking to the PC via PCI, PCI-X, PCI-E).
Why do they need all of this? Speed and flexibility. What happens if you stick it in a chip, and you run into a compatibility problem? Or what if you have some fancy admin app you want to use? You're screwed. Using a moderately generic CPU and very light OS helps deal with that. RAM as cache allows speed boosts without sacrificing data integrity.
The CPUs on the cards are very powerful for what they do. It's mostly simple integer work, memory management, and routing, as far as the work load goes. Processors with tons of capability at these things can be made fairly cheap, not making it worthwhile to build your own hardware for it.