Because a UPS/Surge protect protects against power surges in the electrical system: if, say, twice the normal voltage comes through, the surge will be detected, and compensated for, and if the power goes out, the UPS will go on.
If several million times the normal voltage arcs through your electrical system due to a lightning strike, your surge protector is probably just going to melt before it detects anything, and the weakest points of your computer hardware will fry, too. At that point, even if the UPS kicks in, it's pointless if the hardware is melted.
I lost a modem due to a lightning strike, and my Dad lost a monitor (and his surge protector!); and those were during mild storms. Lightning is electricy strong enough to tear trees apart in a fraction of a section, by overheating the sap in the tree! Don't mess with it!
Odd ... if that happens, you ask your UPS provider to pay for the damage. All my UPS's are rated for lightning strikes.
The only use my power-off buttons see are to power the machine back on when I have multi-hour blackouts (I'm not going to buy enough UPS backup for 7 machines for 4 hours - I just bought enough to last for 10-20 minutes, which is longer than 99% of the problems I see around here ... by about 10-20 minutes - most power problems here are brownouts or 0.5s blackouts).