Both iOS and macOS (I don't know about windows, I havent used it recently) have built-in VPN clients so what would be the advantage to using a client from the VPN provider?
* If you need to change your location (country) often, the apps usually have a dropdown where you select the country you wish to connect to
* It's easier to setup, especially for novice users
* They can have additional features, like a kill switch that makes sure that if the VPN connection drops you don't send any traffic over your non-VPN connection
The built-in VPN clients support old broken insecure protocols (PPTP) and expensive, hard to implement and hard to deploy protocols (IPSEC-LLTP), whereas public vpn providers tend to use simple, secure, easy(er) OpenVPN for the bulk of their connections. So you need a addon client to use them for their best features.
