Natural light is boring, and often distracting. As a very simple example, I live in an old house and have windows broken into small square panels. For a scene where someone is looking through that window I would put a light outside to make a shadow on their face for dramatic effect, even if the sun was not really coming from that direction or if it was raining (which usually softens shadows). But if I was showing the same person looking back into the room, then the shadow on their back would be a distraction from what was inside the room, so I would soften the lighting or put a screen to limit the natural light, and fill in the darker areas of the room with a soft light.

Look at old film noir movies on TV, they have very exaggerated lighting for dramatic effect.Often you are reducing light to remove information from the scene, so that the viewer can focus on the dramatic subject.