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IGPs are a cheap utilitarian feature added into a CPU. Meant to be enough to do normal computing tasks and some light 3D work. They're simpler and cheaper, meant to barely impact the cost of the CPU, so not really any expectation that $20 worth of graphics processing could compete with a $200 dedicated GPU.
A dedicated graphics card will have it's own RAM that is typically faster than system RAM. An IGP will use some system RAM since it doesn't have it's own. That will often limit the amount of RAM that it can address or is available to address, in addition to the RAM being slower.
A dedicated GPU has it's own silicon where the whole chip is dedicated towards it's computing. an IGP shares space inside the CPU. And will typically take up a fraction of the space of the CPU. The end result is fewer transistors and much less computing power compared to a dedicated GPU. Probably lacks specific and specialized features of modern dedicated GPUs.
IGPs also share power with the CPU which would also limit how much power the IGP could use compared to a dedicated GPU. You want tons of high speed graphics power, that's going to take some wattage. Wattage an IGP typically won't have access to.
The simplest terms, what's the difference between a Nintendo Switch and a PS5 Pro? What's the difference between a $200 TV and a $2000 TV? What's the difference between Gobots and Transformers? Or the difference between a green army man and a G.I. Joe? What's the difference between the cheapest SKU in any product line and something that's actually good?
Quite often the answer is a lot when you compare anything side by side. IGP's are the cheapest graphics processing you can get. They don't really measure up to something on the nice end of the spectrum.
The bottom line is that integrated graphics chips are slow. There are exceptions, of course, but they generally start at "deadly slow" and end at "passable". Dedicated graphics solutions are only limited by how much money you're willing to throw at them.
Dedicated = Good
As for why, it's because there's limited silicon space on a CPU, and fitting the CPU parts (plus other parts that CPUs have integrated over the years) plus graphics bits onto a small package won't compete with having the extra space that dedicated chips do.
If you're not going to anything that needs faster graphics performance (web browsing, typical school work, etc.), then integrated does the job all the same. If you are going to do something that benefits from more graphics performance (games, productivity work that leverages GPUs, etc.), then integrated is going to be between slow or outright incapable.
Dedicated chips also have their own (V)RAM whereas integrated ones solely use system RAM. But that also falls under "dedicated ones are more performance" so it's not too relevant on its own. It may seem to be worth keeping this in mind if you'll be getting a system with a lower amount of RAM (as the graphics using some will leave you with a bit less), but typically, it's not worth getting a dedicated graphics card just for this reason as simply adding more system RAM is often cheaper and more efficient as far as that goes. So it circles back to getting a graphics chip only if you need that extra performance.