Wearing separates means that your clothes are much more likely to fit. I am tall - the average dress off the peg will have a waistband hovering somewhere between the bra line and my actual waist - not a good look or comfortable. It may well also stop above my knees - draughty and cold. Women have curves which can be quite variable but dresses just come in 10, 12, 14, etc so already you are trying to find a dress which is the same sort of shape as you, or you wear something sack shaped. Anything long will just get caught in the wheels of my office chair - many women work, don't you know? If you sit in a dress with fitted sleeves it can reduce how far you can move your arms - the same reason a shirt comes untucked but more restricting.
Wearing tights to keep warm is no fun - being encased in sweaty nylon for the day, yuck, plus they ladder really easily so are quite an expense.
Dresses dictate the sort of shoes you have to wear - mostly to far less comfortable ones that wear out quickly