Why do artists use pigments instead of dyes in paintings?
While more historical artists likely didn't understand the chemical processes behind the behaviors of the two options, the biggest reason is permanence.

Dyes are organic substances that are either soluble in their medium or in their application. This means the structure of it breaks down as part of the application. The structural breakdown, coupled with the organic state is ultimately why dyes are less permanent.

Pigments may be organic or inorganic, but do not break down in their binder or application. Because the structure of the pigment remains intact after application, their application is more permanent assuming it continues to adhere to the surface of the support.

I'm sure that a fair number of artists initially tried dyes over pigments, but in time the knowledge of the behavior differences would have spread from teacher to student. For practice, many may have chosen dyes, but when it came to important works, not likely. Bearing in mind that the expense of many pigments was often born by patrons of a number of the artists, so quality was very likely more important than cost. 

It's also worth noting that the extremely expensive pigments, such as lapis lazuli used to make ultramarine, were often reserved for the most important of subjects such as very wealthy nobility or religious works. Less expensive pigments would be mixed for close approximation in other cases.