Why do double-faced planeswalkers from Origins get exiled before being transformed?
There are two main reasons for this way of doing it, one mechanics based, and one flavor based.

The mechanical reason is that if they just transformed they would need to have additional text to put the loyalty counters on them, whereas if they exile then enter transformed they enter with the appropriate number of loyalty counters.

The flavor reason is it represents them Planeswalking when their spark ignites, then returning to help you out.