Why we need EEPROM in this micro-controller
See EEPROM#Related_types on Wikipedia. Your Program Memory is likely flash memory, which you'll flash (i.e. completely erase and rewrite) with your program every time you like to change it. 
8KB is smaller than the usual size of blocks for flash memory, so its unlikely that you can erase only a half or a quarter of your Program Memory. 

The program itself may store small quantities of information (a few bytes for important data) without erasing itself by using the EEPROM, which can be written to bytewise (or wordwise).

So the EEPROM is like a tiny hard disk and the Program Memory is more like a tiny rewritable CD.