It just removes the need to install a cli tool on your local machine. I in general are sceptical before I install some external 3rd party software. With MCP over HTTP transport, the MCP might still talk to your agent and tell the agent to do XYZ, but your agent can still treat that command as malicious and refuse to execute. While not perfect, it is just another layer of security.

It is the same with a wepapp: You could argue you don't neex browser apps if the user just install a software on their computer, but we feel better using the sandboxing environment of your browser.