The advantage is that you're setting this for a utility which can play media directly (e.g., you don't have to separately download and then play content), and that you can set preferences independently for mpv vs. other tools.
You can also of course configure your own aliases, shell functions, shell scripts, or config files for various preferred configurations, whether using mpv, ytdl, or other tools.
It's worth noting, though, that ytdl can output video content to stdout, so it is possible to stream video by piping to any player, although mpv's method is much more convenient.
Sometimes it is necessary to download files regardless, though, due to DASH separating audio and video into distinct files. You often need to remux them with a container like MP4, AVI, or Matroska in order to use them locally.
mpv's bonus is convenience, and the fact that it will seamlessly play much of what you throw at it, whether that's local files, network resources, web sites, etc. Much of that majyck is in fact ytdl/yt-download, but having a standard interface is quite handy.
And yes, I've run into streams that need mixing, which ytdl/yt-download can handle; you point it at both the video and audio sources, typically. (I do this infrequently, thankfully).
<https://mpv.io/>