DSL modems typically have to be placed close to the first phone socket (where the line comes into your home), as extension cords - even inside the walls of your building - can introduce a lot of interference in the data link.
If the router is built into the DSL modem it forces all wired connections to extend from that location, which may not be practical. Also wireless performance may suffer a lot depending on where that first phone jack may happen to sit.
It's often more practical to just have a modem, and then hook it up with an ethernet cable to a separate router. Discrete routers are available in much better quality and performance, and can be equipped with custom firmwares for those who so desire.
Also, in case of lightning strikes you might not lose the functionality of both units in one go...maybe 🙂 Although what benefit you have of a router without an accompanying modem is of course debatable, at least you won't have to pay to get both replaced if only the modem dies.
