There are a few major reasons, but the main one is: E3 is the key info dump for the industry to it's consumers. It's place in the year is perfect too, after the financial year ends for companies, looking to boost hype and ready to show off this year's major products from these companies, or like Sony did in 2015, build up hype for the future of the PS4 through a series of promises that are yet to be met.
It's been established for 25 years, the idea that it isn't needed is short sighted tbh. The consumers who follow the industry don't need it maybe, but we follow it just the same, and we share it's content to coworkers/classmates/friends and family. We know to expect content here every year, we know that this is the time we will learn about important products.
If E3 didn't exist, Nintendo might be fine, because they have established Directs, and other platform holders can copy this approach but how many companies outside of these platform holders have the clout to bring in millions of viewers? Now they are depending on Nintendo, Sony and Microsoft to put them into their news briefings about these 3rd party products, E3 puts smaller companies on more equal footing with the platform holders because we come in millions to get content from E3.
Lastly, tradition is absolutely a part of it, not just how long it has lasted, but this industry runs on hype, and while hype can randomly show up around any announcement, E3 is something you can be hyped for like clock work, it keeps the industry moving in an exciting direction. Think about Sony the last few years, they showed the same games off for multiple years, but people were still hyped for these events to occur, without the basically mandatory demand of E3's info dump from Sony, the hype around Sony the last few years would never really exist. Sony of course had drawn out these announcements because next gen is around the corner and they can't talk about PS5 games this year, but if Sony doesn't come back to E3 next year, it could really hurt them. This E3, no one is really talking about Sony, except about them not being here, and while Square Enix is lifting Sony via FF7r this year, because of it's exclusiveness, it's not something Sony can continue to bank on. Next year they will have to show next gen's line up, and if they do it during E3, even in their Sony Direct format that they are copying from Nintendo, everyone will expect that in the second week of June next year.
TL;DR: Without E3, we would all be creating threads about predicting the next Sony, Microsoft or Nintendo Direct, and 3rd parties would be hoping that enough people would tune into their own news dumps, meanwhile the average game consumer would be completely lost, because we can't get hyped for every direct, as a fan of Nintendo, trust me on that.
