I'd guess it's because there might be things you can import other than story choices. I think it's already been hinted at that you get some sort of bonus for importing a high-level character or for having certain items in your imported save, and you can't get that if you just start from scratch and pick story choices from a menu.
I'd say, if nothing else, you should be able to change your class. You're getting de-powered to level 1 anyway--who's to say that, when you re-learn how to fight, you can't learn a new way?
My main reason for wanting to be able to chance race and sex is that I hope PoE2 offers new options that weren't available in PoE1, like new types of godlikes, and if we say that the Watcher's race and sex can't be changed, then it makes sense not to have any new race/culture options, either--after all, the Watcher couldn't have them in PoE1, and they're the same Watcher. And I think it'd be easy enough to handwave away without needing some sort of weird "soul transfer" phenomenon. Just say, well, people get it all wrong when they talk about the Watcher. Turns out rumors mutate, people in the Dyrwood don't agree on what the Watcher looks like, and most of them say he/she's a <race> from <place>, but it turns out they're wrong and he/she is actually <other race> from <other place>.