Larger sizes cost money and slow down downloads. That matters. When you have a game that has multiple music tracks compressing down lossily can save many megabytes (even gigabytes if you include audio effects, dialog, etc). Sure, your game might already be a 4GB download, but why pay for extra server bandwidth and make users wait longer for 5GB if there's no benefit to doing so? Especially as we move more into free-to-play: a game that downloads in 5 minutes has a much higher chance of converting players (and making more money) than one that takes 7 minutes to download. Every single last barrier between catching a potential player's interest and getting him in game needs to be broken down if possible. See the success of Flash games and their very fast "click link to game's site, be in game" conversion opportunities.
Then let's think about platforms that have limited storage size. A console might only have several GB available for user downloaded games on limited flash memory. An 800MB title will fit. A 2GB+ title will only be available to a subset of console owners.
Now let's look at memory. If you need to load music, sound effects, and dialog into memory to play it, what do you do on a system like the 360 that only has 512MB shared with the video card in total? Even on PC, many users are still on a 32-bit OS, which means you've got all of 2GB (maybe 3) to fit everything you need loaded on the CPU, including audio. For music only this is somewhat reduced since you're usually streaming, but the compressed audio still allows smaller buffers (assuming you're offloading to an audio unit that can decompress on its own) in main memory. The streaming is also less likely to lag or glitch with smaller, less-frequent requests for blocks achieved by packing in more audio data in less space.
And then of course there's other considerations like mobile games, where you need to keep the entire game under ~50MB in order to be able to be downloaded on cellular connections. A player who finds your game on the bus but can't download is probably not going to bother looking up your game again later when they get home: you've missed your chance to get a new customer. You need to get the entire game - executables, packaging, textures, models, game data, and audio - into that 50MB envelope.
These other platforms affect the PC indirectly, too. There needs to be a strong case to spend the time and money to write two different audio conversion pipelines for PC and consoles (and then test them), and "the PC can do it better" is not generally a strong case for most titles (since making the PC version better rarely increases sales signifiicantly). If you're already converting to MP3 or Ogg to deal with a console, you might as well just reuse all that pipeline work and verification on the PC.
