For lots of practical reasons. It would have been much more difficult to launch it if it was in its complete form. It was easier to bring it up section by section. Scientific work could also be done on the station itself, without having to wait for it to be completed. It gave them time to test out new things. Technology was also developing, so they could send up the latest technology of the time. Many people were working on it, so it was easier to have them work on their pieces separately and then bring them together in space. For these and other reasons, it was easier to do it in sections and assemble it in space.