Why should a graduate student complete a whole course?
My immediate answer is they shouldn't. The problem is that there are differences between graduate systems. Aeismail has provided a good answer for one such system. Where I work each graduate student has an individual study plan and the idea is to tailor make the studies for each. this tailoring involves taking parts of a course and not for credit in the sense to go through examination. In our system all courses at graduate level is pass/fail. To understand the differences one has to look at the position of a graduate student as well. 

In some systems a graduate student is more or less a bit more than an undergraduate (a "super student"). In my system a graduate student is pat of the employed body of the department and in that sense also a colleague. The point is that this involves both rights and responsibilities and further involvement in department affairs. This position has old traditions where a PhD was not awarded until much later in life, the term graduate student simply did not exist, there were, for example, intermediate teaching positions for those who had not yet completed the PhD yet. The thinking about courses is thus to ensure that the student does not waste much time on unnecessary material, just as you stated in your question.

So from this position, there is no right or wrong in terms of courses, the PhD programs differ so much between systems. The reason for the differences comes from deeper differences in the university systems and views on what the PhD student profile after completion. We had  discussions about mandatory (tailor-made) course for students to provide a common base in the subject, but we have scrapped this approach because the field is simply to wide and then it will be up to each to read upon their sub-field.