Because Director does not do significant dithering of direct-colour graphics, 8-bit indexed images tend to render better on monitors with a higher bit-depth than 16- or 24-bit images do on an 8-bit device, so 8-bit graphics will usually produce the best display on the widest range of monitors. (Of course by the same argument, 1-bit images look better on a colour monitor than colour images look on a 1-bit monitor, but these days you can usually rely on 8-bit colour as the norm.)
8-bit images are also (obviously) smaller than higher-depth equivalents, reducing memory requirements and shortening load times. (24-bit images saved with JPEG compression are an exception here, but because of the added overhead of decompressing, load times are still greater; JPEG also requires that QuickTime be present and is only available for externally-linked picts).