Differential equations are employed to construct models of physical phenomena. In particular, consider the very simple linear non-autonomous differential equation
$$y'(x) = g(x)$$
with initial condition $y(x_0) = y_0$. Linear differential equations of this type usually describe a physical system forced by the term $g(x)$ which starts from a certain initial state.
Your two-step solution does not give a formal solution valid for any integrable $g(x)$ and any initial condition $y_0$. It seems that any $g(x)$ and any $y_0$ should be treated in a special way, and there's no way to speak of the general properties of a solution.
The one-step solution is instead a particular case of
$$y(x) = \int_{x_0}^x g(t) \,\mathrm{d}t + y(x_0),$$
a form which is valid for any integrable $g(x)$ and $y_0$. But this, in turn, is a particular case of the convolution integral
$$y(x) = \int_{x_0}^x h(x-t)g(t) \,\mathrm{d}t + y(x_0),$$
which represents the response of any general linear time-invariant system — represented by $h(x)$ — with one input forced by the term $g(x)$.
These forms allow to discuss general properties of the solutions (e.g. natural and forced response, eigenfunctions and eigenvalues, frequency response, stability), something that it would not be possible by treating each differential equation as a special case. Of course, one should not give the impression that any differential equation possesses solutions that can be written explicitly in this way, but when this is possible there are many advantages.
The solution that you find bizarre is actually quite common in every application of ordinary differential equations.