People may choose separates for a more custom setup, where they can swap out individual components to change just that one part. In fact that is the same reason people cite when using a Preamp/Surround Processor and separate amps instead of a high-end AVR. They may just want to change out only the processor when new technologies come out and continue to use their amps.
However I'm not convinced there is an audible upgrade from changing the DAC/Preamp in say a Denon AVR to separates. The Denon AVR can be said to be neutral and transparent, with low distortion. In that sense any differences I think are A) placebo/expectation bias or B) the separate components have their own sound signature. That's not really desirable for my goals as I am of the conviction that speakers and EQ is where I should be making changes to my sound. Granted, I haven't used a separates setup, but I haven't seen the evidence showing their clear (audible) superiority. I have seen a lot of prose and audiophile hand-waving, but nothing convincing. So I use a Denon X4500H, and my system sounds amazing.