Tell me some things a data scientist/statistician needs to do that can't be done in R/Stata/SAS/SPSS
Why do I need to learn to program in python or Java and learn data structures? 


The simple answer - you dont need to lear python or Java or Scala or Julia or anything else if you dont wont to. If you dont know python it doesnt mean that you cant be a data scientist or use ML/DL. 
The point is that some tools are better for some tasks, it might be benefitial to lear C++ or Java if you need code that runs faster in production, etc. But you might be totaly okay with well optimized R code. You should do what is best for you and your tasks.
About the things you cant do - I agree with you, you can do basically anything in R, it might be not efficient, but its possible.