With the advent of attachMovie() in Flash 5, loading external SWFs became much less of a necessity. However, in some situations, you still might want to load external SWFs.
Suppose a Flash application provides access to several SWFs and/or JPEGs, and each user is likely to access only a small portion of the content. It doesn’t make sense to force every user to download all the content, as happens when you store the content in the Library and use attachMovie().