A couple of reasons:
1. A wig holds it shape better...no worries about a "do" falling.
2. It's always what you expect it to be. No bad hair days.
3. Often actresses prefer a wig to protect their natural hair from gads of product (spray, gel, etc), the harsh treatment (brushing, teasing, irons) and the harsh lights.
If we're not having fun, then why are we doing it?
These are DISCUSSION boards, not mutual admiration boards. Discussion only occurs when we are willing to hear what others are thinking, regardless of whether it is alignment to our own thoughts.