What's the advantage of autocrine signalling?
Why doesn't it just exert an affect while it's already inside the helper T cell? 


Because it interacts with membrane-bound receptors. Those are outside so there is no way IL-2 (or any autocrine factor) could signal while inside the cell. It has to exit.

Now, the next question is why the receptor is membrane-bound and outside. As far as I understand there are two parts to this answer:


Receptors are evolutionarily related so they follow similar synthesis pathways.
Membrane-bound receptors are (all?) transcribed while being secreted into the endoplasmic reticulum. This causes their agent-binding portion to reside inside the ER. From there, vesicles bud off, are transported towards the cell membrane, merge with it, and hence the formerly inside portion of the protein ends up on the outside.