A 'sealed' retaining wall where the stones are interlocked or even glued/mortared together would probably have a higher load capacity than one made dry/unadhered. Or someone could simply like the aesthetic of a more 'filled in' wall, regardless of practical considerations.
Eh, the perforated pipe technique can efficiently collect the water and move it somewhere else entirely. It's nice that dry stone can just let water fall through, but then it just runs out at the base. Which might be fine, but you might still want a french drain anyway.
Which is why gravel backfill with a perforated pipe at the base (that drains to day light) is specified by many/most building codes.