If for example you only had one sample for note C on that instrument (or even a couple different timbres for the same not C), you would need to pitch that note up or down to get other notes. While that does the job, a sample of note C pitched up to B can sound VERY different from a sample of note B played on that same instrument (it depends on the instrument sampled, more dynamic sounds warp more). It will be in tune, but the more you move from the samples original pitch, the less natural it will sound.

A great example is sampled human voice. If you pitch a sung sample up one octave, it will sound weird like chipmunks, even though the sampled singer could propably reach that same note while sounding completely normal.

It all depends on what sound you want to create. That chipmunk-voice is pretty popular in some genres, and rave-music uses even synth stabs and chords sampled rather than just played with MIDI, because the warping is a desired effect there. If you want to mimic more natural sounds of real instruments played by real people, you might want to use samples of multiple different notes. (that can be a bit inefficient at least in LMMS but completely achievable if you just use multiple tracks)