So… there are many possible answers here.
Yes, “continuity of cast and setting” is one possible answer (and feels very germane to this thread).
But one-shots also provide the freedom to *not* have that level of investment. It’s a great opportunity to find out whether you can play a character who is constantly cracking jokes, or (like Deadpool) constantly breaking the 4th wall, or a different gender, or just “not your normal class / build / role”. Or to learn firsthand why everyone hates Kender.
It’s also an opportunity to try new systems. Most groups aren’t clever and creative enough to make running the same PCs in D&D, WoD, CoC, Rifts, and Fate a thing, so getting caught up on one often excludes the other.
But, even if that long-term commitment is the ultimate goal? Why, just giving people the opportunity to run (and play in) these one-shots may build up the appropriate skills and hungers in people to make that happen.