This questions went through my mind as I was discussing some spiritual matters with a group of friends. The Baha'i Faith is not a sect of any of the major religions of the world but it is an independent religion with its new Messenger or Prophet of God. This was the reason to ask the question of why do we need a new Messenger? Haven't we had enough already?
So...after talking for several minutes, I realized that ever since the beginning of humanity, we have needed God's guidance. Now, I can just start to imagine what this means...for instance, when we were cave people, our knowledge of what was good or bad came from what was good or harmful to our bodies and what cause pain and what didn't. That was just practical knowledge based on experience. Now, we needed more than that. Disputes and fights over food, shelter, power, etc must have been common and we needed guidance later on when we were more advanced from someone enlightened who could tell us how to behave in a way that everyone was happy. And THAT kind of knowledge had to be learned from a source. Now, as we have evolved and our knowledge of the world and God, as well of religion evolves along with our capacity of understanding, our needs change and our power of questioning also changes and evolves. See, if Jesus Christ had told his people that the whole world is one and that all men from all parts of the world are the same, we wouldn't have understood!! Jesus clearly knew all this and wanted to tell us but in His infinite mercy he told us only what we could bear to hear and saved the rest for when we were ready.
Mohammad, he came in a time when boundaries extended from tribes and cities to countries. He told us to love our countrymen. That what was we knew existed and what we could understand. And today, in this age where borders are shrinking, technology is in a stage of unprecedented history, and humankind is realizing that the current world order of things is not fit but faulty, we understand that WE NEED NEW GUIDANCE!
The Baha'i Faith explains the oneness of all the Divine Messengers of God as derived from ONE SOURCE: God. They all praise each other and speak of the next that is to come. The Messenger of God for today is Baha'u'llah. He also spoke highly of all Messengers that came before Him and foretold the coming of another in the next hundreds of years.
So...to me, the answer to the question of why? was simple: to save us from our own ignorance and to guide us towards that which can make humankind a civilization in continuous progress.