Vacuuming the sand is usually unnecessary if things are done appropriately. In any case, there are many things auxiliary filtration devices can't do or change. One is the production of refractory compounds--things that can't be broken down and have no affinity to carbon or the air-water interface (skimming). Then, there is the potential accumulation of inorganic compounds, metals, etc. Things added in food, etc. begin to accumulate. There is also the ionic balance that eventually drifts over time. In other words, the longer the water sits in your tank unchanged, the less it actually resembles seawater (granted, even synthetic seawater is pretty far off, but you get the idea). Doing a water change is necessary to prevent this. Out of experience, as well as hearing others' experiences, you will need to do water changes eventually. I know people that have gone for many years without them--then, out of the blue, they have catastrophic problems. Fish get diseased, corals die, etc. The person tried carbon, metal scouring resins, and the rest to no avail. Finally, after I convinced him to finally change the water after 6 years, everything "mysteriously" perked up. In the end, there is no reason NOT to do them, short of a lazy streak (which everyone seems to have to a degree).
Edit: It seems you may be under the false impression that you must change all of the water. Only 10-25% is necessary for maintenance. More can be done if needed, though usually only during emergencies.