They built it because Exhibition Stadium was a disaster, especially with flooding at a Argos game causing people to demand a dome. Do your research.
Plus, it's cold in April and September/October.
Here's the reason:
The main impetus for building an enclosed sports venue came following the Grey Cup game in November 1982, held at the outdoor Exhibition Stadium. The game was played in a driving rainstorm that left most of the crowd drenched, leading the media to call it "the Rain Bowl". As many of the seats were completely exposed to the elements, thousands watched the game from the concession section. To make a bad experience even worse, the washrooms overflowed. In attendance that day was then-Ontario Premier Bill Davis, and the poor conditions were seen by the largest TV audience ever in Canada (over 7,862,000 viewers) to that point.[13] The following day, at a rally at Toronto City Hall, tens of thousands of people who were there to see the Toronto Argonauts began to chant, "We want a dome! We want a dome!"
That's why we have Skydome/Rogers Centre.