Because the case is manually inserted and removed, a threaded plug would require threading on the inside, and thus the chamber to be reamed past the threads. The case would be difficult to remove.
With threading on the outside, you essentially require zero loss of "effective action length" and the case extractor groove can sit just a tad off the breach end and make it easier to pry it out.
Obviously with the threaded cap you have the potential for a case head failure to leak gas into the cap, and the wider surface area means more force applied on the threads. With a threaded plug you wouldn't get this area increase.