Plex isn't for everyone. I guess their thinking is, you have one server that can be accessed from multiple machines. This way you only have to configure/scrape your media once rather that on each machine. It's also a hell of a lot easier doing this on a computer with a keyboard rather than on a TV and remote control. Also, it allows for access multiple servers, even remote ones.
Previously versions of Plex worked more akin to XBMC, where you had to set up your sources and scrape within the program itself on your TV. Transcoding various file formats was also handled directly in the media player rather than on the server. I think for some of us, this worked better as you didn't need a computer running to watch anything. I wish they would still offer this functionality for those of us that don't want to run a media server.
However, the plus side of running the media server is that when you wipe and upgrade the ATV firmware, you won't have to rescrape all your movies, like you do with XBMC.