A follow-up, I’ve also found this quote enlightening:
The mechanics are not important, but as dreaming is partially caused by chemical poisons that make dreaming a necessity for physical survival, so there are other mechanisms of this kind that are actually doorways, built within and natural to the physical mechanism, that at the same time necessitate experience upon other fields of reality.
—TES3 Session 96 October 12, 1964
Physical existence is setup quite specifically for our benefit/growth. It makes sense why we would make it this way in the first place, and choose to be born into it.