Azure key vault export keys

Hi Azure experts,

As we know that the keys in Azure key vault cannot be exported.  they cannot be used outside of Azure key vault. So what could be reason why this might be a problem if at all? i.e can someone please advise of some use cases ?

I mean if there are no issues then customers don't need to bring their own key from on-premise and just use  Azure key vault to generate/use the keys. right?

Regards

AR