Let's say for example that OBJ contains something like this:
Index (1,1,1) (2,1,2) (3,3,2)
Pos (x1,y1,z1),(x2,y2,z2), ...
Norm (nx1,ny1,nz1),(nx2,ny2,nz2), ...
Tex (u1,v1),(u2,v2), ...
where all in Pos, Norm, and Tex are individual tuples, i.e. you do not find two positions or two normals that are the same. The three indices in Index are not always necessarily the same, such as in the second vertex with indices (2,1,2), which uses position #2 and texture coordinate #2, but normal #1.
The GPU (or OpenGL for that matter) expects that information in a representation like this:
Index 1, 2, 3, ...
Vertex [(x1,y1,z1), (nx1,ny1,nz1), (u1,u1)], [(x2,y2,z2), (nx2,ny2,nz2), (u2,u2)], [(x3,y3,z3), (nx3,ny3,nz3), (u3,u3)]
where there is only one value in Index per vertex, and where (nx2,ny2,nz2) == (nx1,ny1,nz1) and (u3,u3) == (u1,u2). However, you do not tell anyone that you know about that relationship, you simply broadcast the duplicate values to any vertex that uses them.
It is of course not too hard to convert one representation to the other, but it is still kind of awkward juggling those variable amounts of indices as you read them from a text file, and it takes considerable work both in terms of writing the code and runtime.
Which means you spend extra time writing code that makes your game load a lot slower than it could without you spending that time.
If the goal is to get a game finished, writing that code is the kind of useless-work-that-gets-you-nowhere that one usually wants to avoid when there is already a readily available, well-tested, functional library that does the job.
From an academic point of view, it might be interesting to write a vertex shader that takes multiple indices as input (via a vertex attribute) and which pulls the actual data from a set of buffer textures. That way, it would be possible to directly consume OBJ data. However, this would totally defeat the post-transform cache, so it would only work reasonably well on ATI cards (which have a poor cache implementation but compensate that with higher ALU).