Sometimes there's no point to it, all it does is create conflict that isn't going to be resolved. For example, if there's someone that you've already tried to work out an issue with, and it just hasn't worked... maybe something about their basic personality is just triggering to you, or annoying, bringing it up yet again isn't likely to be helpful.
So, this is probably not what you had in mind, but for example... my boss is a fine person. He's pretty emotional, and he wants to be a good boss. But, he's sort of not. He's unorganized, he's easily upset when people try to bring up issues, and he cares more about the projects he's actively engaged in than in actually managing the team (i.e. making sure everyone on the team is engaged in good work). I've talked to him about the fact that I'm bored, don't have enough to do, want to be working on different things then he's giving me, etc. I've talked to him about this stuff several times, politely, in appropriate ways. It doesn't matter... he doesn't get it. So, now I don't. All that happens when I try to discuss it with him is we both get upset, I get more depressed, and nothing changes. Realistically, my options are to figure out how to live with it, find another way to change it, or find another job. It is what it is.
I think also... some people are naturally more direct than others. I was reading a book on communication, and it talked about the different styles we have, and how painful it can be for a very direct person and indirect person to try to communicate.
The example was a direct-guy trying to ask out an indirect-woman that he worked with. She wouldn't give him an outright, "No, I do not ever want to go out with you." She kept giving him a soft brush-off, which she considered kinder (as it allowed him to "save face" and spare his pride). IE She'd say, "Oh, thanks for inviting me! That sounds awesome, but unfortunately, I've got other plans that night. Sorry!"
To him, since he expected a more direct response, this was confusing. At some point he tried to corner her and ask, "Are you trying to tell me that you DO want to go out with me, but can't on this day, or that you DON'T want to go out with me, ever, and I should stop asking?" - which was awful for her, because he was trying to force her to say something that *felt* really rude.
Does that make sense? I'm definitely in the "indirect" category, and I really liked the example when I read it.... it makes sense, but it's still not easy for me to give someone a direct, hard "No".
I also think... some people do NOT respond well when you do try to be direct with them. Even if you're polite. Sometimes, people just don't want to hear it... and so unless you know someone really well and have a strong, trusting relationship with them, you're taking a risk that directness is going to drive them away. I've been on the receiving end of some directness where I'm sure the person thought they were doing me a favor, but honestly, they just hurt my feelings, often about something that wasn't that important, and made me not want to deal with them anymore (why would I want to hang out with someone who makes me feel like crap?)
Isn't it fun being human? So much fun....