It's simple - why do something the easy way when you can do it the harder way and show off how hectic you are...

Oh, and of course, if they destroyed Junction Machine Ellone, it would mean that Squall could never have got caught in the wrong time and told Edea about SeeD, which means that it would never have got started in the first place. In fact, the world would be immensely changed by such a move. I think Sir Bahamut is correct - one of the major themes in FFVIII is that of fate, and therefore the actions of the protagonists are predetermined.