The usual reason is to watch die rolls for stats, but that is not why I want the players to roll up their characters in front of me. I do so for a few other reasons.
Why are the players making the character? First is that I want to see the choices the players are making and am looking for some insight into why. Recently one of my players made "the healer" for the party. However, as he was discussing it with the other players, he made mention of some interesting things. He wants to "cure everyone" even if that includes necromancy as a way to "raise someone". He wants to be the party healer but in a twisted version. If he had just brought a completed character to the first game, I wouldn't know the background concepts he has in mind. Sure, he might have mentioned such things to me, but they would have been bullet points on his character sheet and I wouldn't have the same insight into the concepts he is exploring. I know more about what the players are thinking.
Likewise, I can see the general style of play each players is looking for. If someone is taking lots of negotiation skills I can see they want a game with more role-play. If they are combat heavy then I want to make sure to throw them in. This goes beyond just abilities. As players are making their characters they often talk about "how cool this ability will be" or "I can't wait to use this ability". A character sheet can give some idea of what a player wants to see, but not as complete a picture as found during character generation.
Get to know the characters. Similar to the above, being there when the characters are created gives me knowledge of the character themselves. What flaws did they take, what areas did they specialize in, what skills does each have. When I am running a game I try to allow the players and their characters to shine. Often this means playing to a character's strengths. The best way to get to know their strengths is to be there while they are being created. Sure, I can take a look at a character sheet after it is made but the impact will not be as strong. being there for character generation means I know the characters better.
Party unity. When the players are all together making characters they tend to collaborate. They discuss who is going to be the healer, who is going to cover the wilderness skills, the thief skills, the magic knowledge skills. They find their place in the party before the campaign even starts. Even if they went in planning to make a lone wolf character, they end finding themselves part of a team. This can start at character generation.
Excitement. There is a general excitement when a new campaign is about to start. As a DM I have all kinds of cool ideas for the campaign (okay, maybe just cool to me). Everyone is wondering where things will go, what their characters will face. It is the ultimate in playing with the unknown. There is a buzz in the air. As a DM I like that buzz, that excitement. I can feed off of that. And basically, I enjoy it.
So for me, there is more to character generation than keeping the dice honest.