The reason is simple. As long as the file to be converter is in your software, it knows the source color space from which to convert. In many cases if you just send them your file that information may be missing.
Such commercial printers are wrong to do so. Andrew Rodney (otherwise known as Digital Dog) has written an interesting response to this question on the p.net forum. Sorry I cannot find the link at this moment.
Link found: from lula forum
Highly recommended reading.