Some still buy direct from dealerships because they want to ensure they receive the current incentives, promotions and rebates. Buying from 3rd party might exclude you from such kickbacks.
For others, it might because they have a good history with a particular dealer or CA so there's no need to haggle or that dealer will work with them on special requests (getting certain accessories pre-installed).
Another reason could be 3rd party buying services won't handle a trade-in, so rather than selling privately you'll just work with a dealer.
And of course, the last reason might be to custom order the car the way you want and/or arrange ED!
Recaro | AST | Vorshlag | Quaife | Stoptech | Volks | Autosolutions | BMW Performance
Click here for my track videos