Different value capacitors are better at filtering different frequencies. Smaller caps are great at filtering out smaller spikes at higher frequencies, while larger capacitors work for larger spikes and lower frequencies. A switch mode buck converter (like the PTH08080s) creates a lot of large voltage spikes due to how it works.
(More info here)
Smaller ceramic capacitors, like the ones on the board, can have tiny capacities and high voltage ratings and work for any voltage. However, having a "one size fits all" large electrolytic capacitor would be enormous, even bigger than the regulator itself. (Not to mention have a higher ESR making it less effective). Since we use the regs at a relatively low voltage, having external caps lets us use caps that work just as well for us and are much smaller than an onboard "one size fits all" capacitor would be.
