Put yourself in the position of the thief in the game. Now ask yourself that question. Would you rather pick pocket someone in a real life situation or kill them given those only two choices? That is why people want it in otherwise the feelings you have for the npc's in the world are controlled by limited choices. We are supposed to interact with them and by being forced to kill for loot that defeats the purpose.
Please don't assume I am saying you shouldn't be able to pick pocket. I was trying to give the opinion of a ruthless Dark Brotherhood butcher (my pre-destined first character in Skyrim). Personally given the choice between killing someone and looting them, or picking their pocket, I would choose the latter. Someone else may choose to kill them however.
For gameplay? challenge? I can name you about 1000 reasons why.
Again, the same answer applies here also. What I thought was great about pick pocketing in Oblivion was the fact that you could actually place items on their person also. Take for example, stealing all food, and giving only poisoned apples.