I’ll focus on Greek in this answer because many of the issues this question raises apply more to Greek than any other alphabet: a lot of math symbols and other scripts are derived directly from Greek letters.
If you look at an example of a Greek mathematical text, the original source is not going to write “ΚΥΡΤΗ ΓΕWΜΕΤΡΙΚΗ ΑΝΑΛΥΣΗ” as \textKappa\textUpsilon\textRho\textTau\textEta .... The source in UTF-8 would be human-readable. It’d be ridiculous to tell the authors, that’s fine, and we have to be able to display Greek letters to read your document anyway, but it’s taboo to type any Greek letter between dollar signs. Probably the only people in the world who’d even take that as up for debate are monolingual English-speakers.
As egreg correctly points out in his comment, “ε (U+03B5, GREEK SMALL LETTER EPSILON) should really be (U+1D700, MATHEMATICAL ITALIC SMALL EPSILON).” But of course that’s exactly the same as how x (U+0078 LATIN SMALL LETTER X) should really be (U+1D465, MATHEMATICAL ITALIC SMALL X). And when I test, unicode-math is smart enough to handle it the same way: ε in math mode becomes , \symbfup{ε} becomes (U+1D6C6 MATHEMATICAL BOLD SMALL EPSILON), and so on. There’s even an option to replace these with MATHEMATICAL EPSILON SYMBOL instead.
One good reason to prefer macros to direct Unicode input is to avoid mixing up symbols that look the same, such as Latin A and Greek Α. There are no distinct Greek letters Α, Β, Η, Μ, Ν, Ο, Ρ or so on in the legacy OML encoding, so traditionally these were identical to their Latin lookalikes. You wouldn’t define two identical symbols in the same context with separate meanings! Today, though, it’s possible that different symbols might look different on the screen but the same in the editor, and it’s now possible to copy from and search a PDF that uses a Unicode math font.
(By the way, I just found out that copying and pasting from the official PDF code charts at unicode.org gives you mojibake.)
And, of course, some symbol that works in my editor might not display in yours. Especially some obscure mathematical symbol from the supplementary plane.
One could, on the other hand, argue that if two symbols are so similar that I’m likely to get them mixed up in the editor, a reader who doesn’t already know what I meant might have the same problem. So it might be easier to see right away that ϵ∊ is a problem than that \epsilon\in is.