Is dyeing at all pertinent here?
If not dyed in the wool, Yarn is usually wound loosely in skeins for dyeing, because winding it tighter would result in an uneven colour (for the same reason that makes tie-dye processes work) - afterwards, it may be rewound into balls, or not.
Where do you buy yarn that you only get skeins and not balls, or have to rewind the into balls? I usually buy 50g skeins that roll of by themselves (after poking at bit inside to get the proper start), or balls that have been rolled onto a solid cardboard core. The cones I only get when I buy big supplies of yarn at church bazars for used stuff and it’s not special yarn.
Yarn sold by the skein or hank is pretty common in the US, whether in large stores or small knitting specialty shops. In fact, I don’t know that I’ve seen yarn sold in ball form or around a cardboard core (except in big cones), but the “self-feeding” skeins (pull the end from inside the skein and knit) are easy to find. Nicer yarns may only come in “hanks” - basically figure-eight pattern to the yarn and keep adding more loops, then fix in the middle and wrap a paper sleeve around it or on one end. Alternately, make big stacked loops of yarn, then twist up into a long bundle. Those styles need to be turned into balls before knitting.
Its funny when you find an old thread of yours an you say “damn, I was ignorant then!” So at least I’ve learned something over the years. 
The only yarn I have in cones was bought from a UK seller – other than that, there is one store in NYC where you can buy leftover manufacturer’s cones. Truthfully neither of these were packaged for hand knitters - the yarns are treated with machine oil for machine knitting so you have to uncone them, skein them loosely, and wash them before use in handwork anyway.
In “Big box” craft stores you almost never see hanks, mostly center-pull skeins, but at the high-end hanks are the norm (I just got back from a yarn and wool festival, and almost everything was hanks.)
By the the way, the skein that prompted the original question was a center pull skein I just didn’t realize it at the time :smack: – making DanBlather’s wife quite correct in her response (to paraphrase… “sounds like a rookie mistake”).
Because the everyday yarn is probably mass-produced by big suppliers, who have the machinery to wind it into balls. The fancier yarn is often produced by smaller operations, even just family ones, and they don’t have machinery to make balls, they just do it manually into skeins.
Also, as rumbera mentioned, buyers want to see and feel the pattern & colors of the yarn, especially the fancier stuff. That can be done more easily if it’s in skeins.