Good question.
I believe you have answered the question yourself. I think it's because / is the norm and associated with directories.
I find myself - now I'm speaking personal - surfing through a site by just cutting and pasting parts of an url and treating it like a directory.
Probably it's just because I'm used to this kind of structure. A lot of sites use it like this.
I find it to be easier too: suppose a website with photos per country and state.
http://www.mysite.com/photos/usa/quebec/photo
This would make sense to me. A lot of uses would then go back to the index of usa by cutting off the /quebec/photo part, at least I would. Maybe because we treat it as some kind of directory too.