Uncompressed audio is typically used for sound effects, while music is compressed. Latency is the primary benefit. Uncompressed audio will play immediately while an mp3 will have a few frames delay. Sounds like gunshots or footsteps are typically short files anyway, so the increased memory usage isn't that painful.
Games also can stack many sounds, so even if the decoding cost is negligible when playing a single sound, it'll be greater if you have 32 sounds playing at once.
> Uncompressed audio will play immediately while an mp3 will have a few frames delay.
I'm not sure what you mean by this. Encoding latency is only relevant when you're dealing with live audio streams - there's no delay inherent to playing back a recorded sound.
> Sounds like gunshots or footsteps are typically short files anyway, so the increased memory usage isn't that painful.
Not all sound effects are short (consider e.g. loops for ambient noise!), and the aggregate file size for uncompressed audio can be substantial across an entire game.