Rath beat me to it -- but if everyone sang a song from the show it would get pretty monotonous. It is good to sing something in the "style" of the show, but not necessarily "from" the show. As an auditionee you want to make your performance memorable so the casting director remembers you. If you were just one of 100 people singing the aforementioned "On My Own" then your chances of standing out are slim.
Of course, if you are called back as a finalist for the role of Eponine at some point they probably WOULD ask you to sing "On My Own" before handing you the part.
Also, there may be several roles in a show that you are eligible for and by choosing to sing something unrelated you prevent yourself from being pigeonholed into one specific role.
...and obviously if you are auditioning for a new work, music from the show probably isn't readily available.
Of course there are exceptions -- some directors -- mainly on the school and community level -- want to hear songs from the show. I know several schools (mainly junior highs) that do pre-audition workshops where they teach the male and female auditionees separate songs from the show (in a group setting) that they will then sing alone at the actual audition. Of course, a lot of the reason for this is because many of the students would be unable to prepare an appropriate audition song on their own.
"You pile up enough tomorrows, and you'll find you are left with nothing but a lot of empty yesterdays. I don't know about you, but I'd like to make today worth remembering." --Harold Hill from The Music Man