Your question is like asking "why build an oil power plant with all the related hassle, when we can chop wood and light a fire?".
The answer is: the order of magnitude of the produced energy. A star emits Petawatts of energy, while a fusion power plant can produce Megawatts, several order of magnitude less.
And a star saves the hassle of harvesting all the fuel, since gravity already did the job.
