It's an abstraction. It's just quicker for your opponent to collect their dice pool, roll some dice, pick up the hits and roll them again than to...
1. collect dice pool
2. roll to-hit
3. wait for you to collect your saves dice pool
4. wait for you to roll all possible armor saves/feel no pain
5. collect their to-wound dice pool
6. roll to-wound
It just flows more smoothly. Less switching between players and picking up fresh dice (as opposed to just picking up "hits" from the first roll).
EDIT: Rolling saves after-the-fact doesn't mean the bullet somehow hits the armor after hitting skin any more than assault 2 means a shuriken catapult only fires two projectiles. Space marines also aren't dying to the first bullet to hit a weak spot in their armor; they're dying to the 20th "minor" injury to be sustained from a salvo of fire. Abstraction.