I keep finding myself in places where a phone gets a good GSM signal if it is held against the window, but not inside the room. When I use a computer, I want to sit at a table, not contort myself holding the computer against a window. Tethering is better than having a GSM module. The phone can be propped up in a window, computer on the table.

There are other reasons for preferring a separate phone. To be useful, a phone has to be out where you can grab it, wherever you are. That exposes it to possible theft or damage. I don't know about anyone else, but I wouldn't put my computer at risk that way if I could avoid it. Also, PDA-like phones are just too darned big. (For some people, that is a reason to have them. Like shoes with 6-inch heels.)