Because I have media files in DocMan! Hmm, maybe your question really is "why do you have media files in DocMan?"
Sometimes I need to restrict access to media downloads because they are not suitable for general release, but I still want to make them available to church members. So I put them in dmdocuments as this is only accessible via the DocMan component and then I use DocMan to restrict access to specific users.
I wouldn't put the restricted downloads on the podcast, but I'd like to keep all my media files in one place on my server.