Individual components are easier for most...no need to engineer a system that will do it all. And then if one component fails, the others are not affected. If your chiller fails, your entire system is down. If that happens in the winter...hope you have a fireplace.
I'm not arguing water is a much better coolant than air. I'm saying a furnace is generally a much more reliable machine than a chiller. Its pretty common for a furnace to last 15-20 years. Can a chiller last that many years?..maybe.
Back in the day, hot water heating (radiant) was the norm in multi story buildings, but its not any more. Why? I would say mainly due to the maintenance a hot water system requires over forced air. Particularly the expansion joints.