Because it's called precedent, and whether you like it or not, no matter who sits in the White House, the standard practice of delivering the State of the Union live will be used to political advantage by both parties. Even if President Trump chose to send his speech to Congress, and not present it live, do you actually believe that the Democrats wouldn't make political hay out of it? And that given the opportunity, the next time one of theirs sits in the White House, that they wouldn't continue the practice to push their own political agenda?
Did Nancy decide this on her own without taking a vote in the House? How can she exert all of this power herself?