It is simply quicker and easier. If there is a person, who achieved certain level of skills in one area of life, learning from this person saves our time, helps us to avoid possible stumbles and blind alleys. There is only one condition which must be met: the mentor must possess practical experience, not only theoretical knowledge.
Mentor is a practicioner, someone able to transform theory into practice, knowing about all the possible mistakes we can make, the ones able to slow us down on our way to success. It is similar to learning how to drive a motorbike; of course you can do it on your own, inevitably failing time after time. But why should we do it if we can use the knowledge and experience of our instructor, ready to tell us what we should do and what we shouldn’t, with the latter being at least as important as the former.