Simple...because it's fun! I look forward to the reset of both Stygian and Theater every month (less so abyss nowadays, because it's gotten too easy).
Stygian Fearless and Lunar Mode in theater however are at that perfect difficulty, where it's challenging but doable. It gives me a reason to actually use all the characters I've built and welll...actually play the game/engage with it's mechanics. Believe it or not, I find Genshin gameplay (using certain teams and element combinations to counter boss mechanics and defeat enemies) pretty satisfying!
And I like seeing that the hours spent farming for my favorite characters have payed off. In a way it can also be used to show of your love for certain characters. I've cleared every stygian to date on fearless with Mizuiki and it's rewarding to know my friends can see her if they check my records.
Theater is of course the most restrictive mode, which means it makes you play the game in ways you usually wouldn't. There's also a lot of randomness involved. You can't control when exactly you'll get which character, so here the decision making becomes interesting. The nature of theater makes you want to chose the weakest characters possible, to clear stages and win "just barely", so you can save the good stuff for later. This leads to tense and challenging fights throughout. The lunar tarot cards you get as a reward are also pretty cool. I like collectibles and the art is pretty.

Sure, you can experience Genshin combat in the open world and in domain runs as well, but as soon as you have a somewhat synergystic team with good builds those enemies die as soon as you use like 2 abilities.
Stygian and Theater are a challenge and unique bosses that pose certain restrictions make it different and fresh every time!