As it's said in interactive fictions: "Your choices matter." Saving your game data and exporting it to the next game allows your choices and preferences to carry over and affect following gameplay accordingly. Exporting data from the 1st game to the second; then data from the second game to the third; and so on if applicable.
I've seen some of the slightest things change and differ because of such choices it's astonishing, especially with 13 Leagues' pen. From entire plot directions to tiny heartwarming or heart wrenching moments. That is why.