But seriously, why do they even bother with labels then?

Labels provide the upfront capital for things like recording studios, distribution (traditionally, less so nowadays when there's not a physical product to distribute), publicity, marketing, live shows, etc in exchange for a percentage and usually with a contract that the artist will make X many albums with them.

Although things are slowly changing, you are unlikely to be doing huge tours at sold out venues and getting your songs played on the radio unless you have the substantial money to do so in the first place.