I guess I just assumed that if you got anything physical in the mail, it would be a CD. Lol my bad. Still a valid thing to think about I guess.
When downloaded games are particularly popular or major or AAA, game companies will create a physical object for store shelves. It doesn't really matter what this object is, but it must be made.
When the kid tells grandma he wants "Star Wars Battlefront" and the parents say to buy a copy, grandma doesn't have any knowledge about Origin or Steam or UPlay or GoG. Instead grandma goes to her nearest Walmart or Toys R Us or GameStop, says "My grandkid says he wants this game."
The smart companies have a case with a slip of paper containing the online code. There is a cost to produce and distribute them, but it is worth it for the several hundred thousand sales they add.
The less smart companies lose a sale when grandma asks the store clerk what other games they have in stock.