Why is there this added step of creating a Component - why can’t I just use the symbol immediately?

Working this way, any Schematic Symbols you produce will be stored with an appropriate name in the Schematic symbol library. It can then be reused multiple times to create different components using the manufacturer’s component name. Most components you produce will have the complete Schematic symbol and PCB symbol.

See Also

How can I use the Library Manager?

How can I manage embedded libraries?