Not all are region free as it's up to the company who makes/publishes it to decide whether to lock it or not. Certain companies like EA lock pretty much all their games , where as others seem to make them all region free.
Why they do well , same reason as everything else. Money & control. If a game isn't region locked and there is a long difference between it coming out it two regions , then everyone will just grab the one that comes first , so low sales in the other region. Also can be much cheaper to import. Like here (UK) , if a game isn't region locked , you can normally get the import for cheaper and earlier. So less money for company.
Then there are the games that are region locked , even when there is no intent to bring it out else where , that's just the company being a arsehole.