Why does the director of graduate studies want me to keep my TAship, even though I obtained a scholarship of my government?
You need to ask your advisor, since nobody else can say for sure what his reasoning might be, but here are some possible explanations:


You do a great job as a TA, much better than whoever might replace you, and the department would be unhappy to lose your services.
You do a poor job as a TA and need to take this opportunity to improve your teaching skills before they interfere with your career.
Having more teaching experience on your CV or better teaching evaluations may help when you apply for jobs, even aside from whatever you might learn in the process.
If you "detest having to deal with those undergrad students", you may be miserable working in academia.  It's much better for you to figure out now whether/how you can handle teaching successfully without having it feel like a huge burden.  Delaying confronting this issue isn't necessarily in your best interests.