Why is exile often an intermediate step?
Exiling a card before allowing an action does a couple things:


It protects the cards from interactions until it is cast.  If the Dire Fleet Daredevil has targeted a card, you want it to be uninteractable by the owner until you decide to cast it (assuming it wasn't removed in response to the trigger). If it wasn't exiled, it could be removed from the graveyard (e.g. shuffled into library) before being cast, preventing you from casting the card. 
It acts to remove the card from the game.  This is more relevant for graveyard exile than deck exile, where it's more a use-it-or-lose-it situation. Even in the Daredevil scenario, if you never cast the card, it's still exiled.
It makes the card public information.  This applies more to deck exile.  It would be "harder" (read "near-impossible") to keep track of which card you exiled if you got to put the card into your hand.  Even if the card is not face-up, it's still in a separate area.