Maybe you like variety. When you listen to an entire album all the way through, you’re getting a bunch of songs that are (most likely) the same genre, the same singer, possibly the same tempo, etc.
Radio stations aren’t going to play a bunch of songs by the same artist back to back (unless it’s some sort of programming block), so you get a variety of sounds and voices. Even a radio station that sticks to a specific genre will play a bunch of artists each with their own unique style.
Listening to an album front to back can be fun experience, but also there’s merit in a big shuffled playlist of various songs from multiple artists you like.