Well, that's not true.  Copying modules into DesktopModule doesn't register them with DNN.  They will not show up in the module drop down.  (Skins however DO work that way)

The Installation wizard handles a number of tasks for you including uploading the module files, copying DLLs into the /bin directory, executing the SQL required for the module and registering the module with DNN.  In more advanced cases the install uses the manifest file to check versions and prevent conflicts, etc.  Finally, the wizard provides feedback as to the success or failure of the install and in the latter some troubleshooting information, error codes, etc.

You can manually register a module and run all of the SQL scripts (I do this a lot when developing a module locally) but frankly, the wizard does a good job and since each module provides it's own instructions in the dnn manifest file....I would not recommend going around that process.