If you are asking why we are using proof-of-burn to initialize balances, it is because Counterparty is a layer on top of Bitcoin, and so XCP are not mined; proof-of-burn initializes balances in a fair, distributed and transparent way.

If you are asking why Counterparty was created, it is because a peer-to-peer financial market within the Bitcoin protocol is a great addition to Bitcoin and cryptocurrencies in general, and one that people have been waiting for for a while.