I don't know the reason myself, but I believe that a logical conclusion would be that it's useful for an extra layer of protection.
USB drives are generally one of the favourite virus diffusion mediums. Obviously, anything written in a clever enough manner can bypass that (there are free utilities or even shell commands that remove such protection, as long as it's not a physical switch on the USB drive), but if you're inserting that drive into an unknown PC, there are good chances it can get infected. Write protection prevents that by setting the entire drive as read only.
They should, however, allow you to choose. If they come software-write-protected out of the box, meaning there's no switch you can flip to disable it, something's pretty much wrong.