Usage of transformers for vacuum tubes
Remember that the anode voltage is only a part of the voltages you'll need to supply a typical tube circuit.

Along with the anode voltages you'll also need a beefy supply for the heaters (usually 6.3V, several amperes) and often a second high voltage for the screen grids.

If you're designing with DC/DC converters you can get the required voltages just fine, but in the end it's often cheaper to just get the right transformer made.

For musical applications (guitar amplifiers) the power transformer is also one of the sound defining elements. In guitar amplifiers the power transformer is often designed to run close to saturation. Reason for this is, that if you get a power surge (musician playing a note) the supply voltage temporarily drops. This lowers the output volume. Once the input signal fades away the voltage rises again and the output volume rises with it. 

The end effect of this is, that you'll get a slight but natural sounding compression effect which lots of guitarists find very musical.