[TheMatten]

Well, nothing stops you from implementing equivalent wrapper using error mechanics (that could actually make it faster in some cases), but turning this idea into first-class value allows you to abstract over it easily. E.g. in Haskell, base library comes with lots of functions for manipulating monadic wrappers in generic ways, mapping, sequencing and threading through them in common way (once you start using them, you actually realise that a lot of business logic that looks perfectly reasonable in common languages ends up being boilerplate that can be avoided easily using simple combinator).

Few of them are actually bound to syntactic sugar known as "do-notation", that let's you write that sequenced code in post as if you were binding simple variables, adding branching, effectful statements or auxiliary definitions along the way. This really pays out when you start turning simple monads into so-called "monad transformers", that let you stack multiple behaviours/wrappers on top of each other, keeping the same pretty do-notation untouched.