Because it's faster. It stops rendering an object on the screen, less to process. Less to compute (where it's going, how it's going to randomly fly), and because it totally sucked when that happened in WB2.5 (I think it was 2.5). The icon went all grey to indicate the plane was already dead (and not to shoot at it anymore) and the plane augered.
It wasn't that impressive, to begin with, in WB. I kind of like the AH method. It's more like the plane exploding due to gas tank rupture, and so forth. When you think about it, many planes had the pilots sitting on top of the gas tanks. Whatever was going to hit them had a chance of passing through them into the tanks (a small chance

). Then again I also like the gratifying BOOM when you really nail the sucker in your sights.