Sonos speakers are basically standalone music computers. The Sonos app provides a user interface and remote control for the speaker, since the speaker has no display, and only a few buttons (there's no way to scroll through a list of music and select an album to play on the speaker itself). You can use the Sonos app to select a song/album/playlist from, say, Apple Music, hit Play, and the app will tell the speaker "play playlist FOO from music service BAR", and the speaker will do that all on its own (streaming the music from Apple Music or wherever).
You can use the app to raise/lower the volume or pause, or skip forward/backward in songs, and the app will just forward those commands to the speaker which actually takes action on them. This means you could queue up an hours-long playlist, and if, for instance, you wander away from WiFi connection (say, out to the street to grab something from your car, or get the mail, or whatever), the music doesn't break just because your phone temporarily went out of range - because the speaker itself is doing the streaming. It also means you could reboot your phone, while playing, and it doesn't affect the music. You could change devices without affecting the music - say, queue something up using your MacBook, and then close the laptop and pick up your phone and the music is still playing, and you can use the Sonos app on your phone to skip to the next track - because, again, the phone (or Mac) isn't sending the music, it's just a remote control of sorts.
Oh, and by the way, the Sonos speakers (and app) support something like a hundred different streaming services - Apple Music but also tons of others.
Yes, you can airplay to Sonos speakers, but then your phone is tied up with streaming - you're actively pulling a music stream from the internet to your phone that your phone is then retransmitting to the speaker. This means if you turn off your phone, or go out of range, or whatever, the music is cut off. And your phone is using up battery serving as a pipeline between the internet and your speaker.
The other problem with AirPlay is in a house with more than one person - with AirPlay, the person who is playing is in charge - say they get called out of the room for 20 minutes, and another person in the house wants to play something else, or change the volume, or skip a track or something - AirPlay doesn't make that easy to do. But with the Sonos app, every person has an equally powerful remote control in their hand, and the second person can simply use the app on their phone to issue new commands to the speaker.
The app makes it possible to set something going in the background and then move on to other tasks. That said, my Sonos speakers are a home theater setup (Arc, Sub, old Play:1 surrounds), and I mostly use them either with my TV (driven by an Apple TV and a PS5), or I use Sonos Voice Control to directly tell the system what to play ("Hey Sonos, play the album Kind of Blue by Miles Davis"). But I definitely get why other people want to use the app for everything (I have relatives who live in a house with kids, and it's helpful for them all to be able to control the music as needed).
If you're using AirPlay, you're tying up the device that is serving as a pipeline between the streaming service and the speaker - whether that's your phone or computer or whatever. Some people would rather avoid that - tell the speaker what to play, using the app, and then be able to do something else with their phone while the speaker handles the work of playing. Same with the Apple TV - you can play music through Sonos speakers using the Apple TV (I do this sometimes), but then it's tying up the Apple TV so it can't do anything else (and keeping multiple devices on, including the actual TV, putting wear and tear on the display panel).
