Lots of reasons.
Here are some, but the list is not totally inclusive:
1. It creates two completely different social spaces. The kitchen, where the women talk about women stuff, and the grill area, where the men talk about men stuff.
2. It is practical. Why heat up and smoke up the kitchen when you can do all of that outdoors and spare the kitchen the environmental problems of indoor cooking? Guys tend to be practical.
3. As you said, certain foods taste better grilled. Such foods are usually, in order of superior flavor on the grill, beef, chicken, fish. There is no subtlety involved in the cooking of such critters. It is either cooked just right or over cooked. Guys tend not to be that subtle.
4. It is fun. Working the grill is a form of tinkering, something guys love to do.
5. It involves fire. Human beings are mystically intrigued by fire, but guys, for whatever reason, are into fire more than women. Women are more into water. Why? Who knows, but it is a fact.
6. A grill has more personality than an oven. It is more temperamental, more unforgiving. Guys like the challenge, for the same reason they do not ask for directions. Why set the temperature dial on the oven, when you can personally work through temperature problems by your own initiative and ingenuity?
Etc.