For the same reason why you may not want to see an orange dot when you watch a movie in a theater and also the reason art galleries don't put orange dots in front of artworks.
It is a special case where Macs connected to a projector are used to display live visual. The microphone is on, most likely so that the visuals can respond to sounds, and you get to show an ugly orange dot to your audience.
Macs are used a lot in the entertainment industry so it is not an insignificant problem.
From purely a privacy perspective, that is an interesting comparison. Some art installations that record their observers do have disclaimers that recording is happening, sometimes by law.
For a lot of the examples being given in this thread, like billboards and movies, I'd actually welcome an orange dot notifying me that audio is being recorded - since that's not an expectation I'd otherwise have. Though this probably isn't what Apple are trying to do, and would need to be enforced to prevent circumvention.
The initial example of live shows (specifically the subset of which where the same device is being used for some kind of audio input and visual output) is so far the most convincing example because the orange dot is redundant there.
I note "some kind of audio input" for that case. Notifying of audio-recording billboards/etc. is a separate case signalled by the dot (which I think could theoretically be a positive, but isn't practically achieved with just this change).
It is a special case where Macs connected to a projector are used to display live visual. The microphone is on, most likely so that the visuals can respond to sounds, and you get to show an ugly orange dot to your audience.
Macs are used a lot in the entertainment industry so it is not an insignificant problem.