Header-only libs can help avoiding the troubles and complexity of linker setup. This might be even more important on Windows, which this lib "explicitly support".

Wait until you find out about boost!

short answer, because C/C++ sucks. To work around how bad C/C++ sucks people put the entire implementation into one file. That way, there's less question of how you need to integrate it into your project.

In more modern langauges, this is a solved problem and it's easy to use other people code. In C/C++, it's not. As a relavant example, try using FreeType in your C/C++ project, make sure your solution compiles on Linxu, and Mac, and Windows (and ideally other platforms)