Because you have to build it. If they don't use the same build system as you, you either want to invoke their system, or import it into yours. The former is unappealing if it's 'heavy' or doesn't play well as a subprocess; the latter can take a lot of time if the build process you're replicating is complex.
I've done both before, and seen libraries at various levels of complexity; there is definitely a point where you just want to give up and not use the thing when it's very complex.
