I guess technically there is no reason. For me I had concerns with linking the tokens bought through an exchange with a registered EOS public key. I have read that this may not be the case. The other aspect to consider is comparing the exchange rate using an exchange with an average exchange rate that you could expect from the ICO. In my case they worked out to be very close. Other than that I wanted to contribute directly to the ICO in support of the project. I can't speak to the pros and cons of purchasing from the ICO compared to an exchange from a global standpoint or how purchasing from either will affect EOS value, but this was the thought process I went through when I decided to purchase via the ICO. Thanks