Displays aren't calibrated at the factory. To use an LED-backlit display as an example, not every single LED in the world is created equally. Not every LED is going to give off the exact same wavelength for the same current value.
Extrapolate this out to all the other components and this is the reason that your monitor has built-in physical controls for changing RGB/contrast/brightness values to begin with.
Calibration accounts for this.
As for why ICC profiles are used instead of just changing settings on the monitors, the OSD options usually don't offer enough fine-grained control to get things just right. Display makers are typically targeting main-stream consumers so they provide simple adjustment controls.
Standard values of the voltages, currents, timings etc. that are applied to LEDs, liquid crystal pieces and other electronic components of the display in order to get the desired colors are only a starting point; a calibration that measures the differences between devices and compensates them is needed because of manufacturing and accidental differences.
In practice, monitors change color over time (much mire common in ccfl backlit monitors, i think) and even shift with brightness, so we have to do it “at runtime”
In addition to that the built-in options for configuration are often very simplified and have a coupling. Low resolution control plus simplified options means that you often can't dial in perfect color reproduction. Hence ICC profiles.
It is physically impossible to get an unique colour space across all surfaces.
