There are two obvious reasons why gamers (or enthusiasts in general) build their own PCs:
The components the mass producers use are often not that high of quality.
The consumer PC market is known for razor thin profit margins and HP/Dell/etc. do their best to make what they can through bulk discounts. But they also inevitably do things like use second-rate manufacturing partners, skimp on niceties like well-made cases, higher load power supplies, and extra USB ports to cut costs, and they use sub-performance level components for thing that aren't bullet-pointed on the sales brochure. To get a higher quality machine you have to build it yourself, or buy from a boutique brand that will charge you at least 30% more than doing it yourself.
Because they can.
It's possible to buy a case, power supply, CPU, graphics card, etc of your liking and get a fully legal and supported copy of Windows on it. It's not possible to do that for a Mac. Yeah, you can try and build a Hackintosh, but you have to in effect build a copy of one of Apple's existing systems for things to work right, you can't choose a higher performance CPU than something Apple has already used, for example. Or use more exotic motherboard audio. Even if everything does work you're gonna have a hard time getting support for issues that may crop up, because companies that make Mac accessories and software are only going to support real Macintosh hardware and unmolested operating systems.
That's why the gaming market
does exist for Apple, because you
can't just go and build-it-yourself like you can on the Windows side, and Apple's hardware it a couple notches above the normal PC fare.