If you can get kick-ass smoke and particles like that in Photoshop out-of-the-box please do tell me how.

Typically you use photos. Photoshop does not come out of the box with photos.

> Why do this when you can get an identical picture from photoshop?

It gives it character and helps ensure you'll get good artists to work on it. Though now I wish they'd made that clear by making the intermediate shots desktop defaults.