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There's a checkbox in the settings to enable Steam to download while you're playing.
Not all of us have gigabit connections; downloads sometimes take a while, and I hate waiting...
Because Steam doesn't let you run games that have pending updates.
It doesn't matter in most cases -- games usually worked before the update, so they will continue to work a little while longer without getting the update. And if they didn't then people can wait for the update just the same.
But, it's just how Steam rolls, and there are arguments to be made -- like Steam being able to just update the game without having to cache it beforehand, or Steam (more or less) guaranteeing that the newest version is being used, so support cases caused by "we've fixed this already, just install the update" are less likely.
The only potential drawback is the cache space, but disk is cheap. Disk is also _very_ easy to check for.