Plus there's the issue of bandwidth; this was a primary driver for TrueHD when used on DVD-Audio (under the name MLP - Meridian Lossless Packing); the bandwidth had to stay below 9.6Mb/s. This could still be a problem on HD DVD - you don't want the audio eating into your video bandwidth.
Also, the compressed systems also have some extra features. For example:
1) TrueHD uses matrixed storage to allow 2.0, 5.1 and 7.1 mixes to be extracted without any need to process more channels than you require. A 2.0-channel downmix from 7.1 PCM would require all 8 channels to be processed and downmixed in the player, but with TrueHD you just decode the 2 already-downmixed channels.
2) TrueHD can use different sample rates and bitdepths for different channels, to save space; this isn't true of the PCM implementations on most formats (but I'm not totally sure if this is still true for HD DVD and BD).
3) TrueHD can store dynamic range control and dialogue normalisation parameters, as well as flags for Dolby Surround, Dolby EX and suchlike.
4) DTS HD Master Audio is based around a lossy DTS core; this means that simple players that don't have Master Audio decoders can extract that part of the HD-MA track to play the lossy sound, so there's no need for discs to provide separate lossy and lossless soundtracks.
There's probably more, but that's all I can think of.
However, the most important thing about these formats is that it gives Dolby and DTS an income stream. If everyone used PCM, like on CD, then there wouldn't be any money to be made