There are a lot of reasons. For one thing, it is very humid where they live in the wild. It's something they've adapted to, so they aren't used to low humidity. I've also noticed that when humidity stays up their scales are smooth and shiny. They tend to get rough and dull if they're too dry. Beyond that, some of them won't feed if they're not comfortable, so low humidity may cause feeding issues in addition to shedding issues. I've also noticed that when humidity is low some of my snakes have bigger urates and it takes longer to pass them, so it can block them up if they get dehydrated.
Humidity is just as important to good husbandry as proper temperatures.