Well, as for "why", others have answered nicely. If you wanted to get around it without using their equipment, you could get a Y-cable in configuration
3.5 TRS F -- 2x3.5 TS M. I tried looking for it online, it seems to be uncommon, so you can either use two cables/adaptors that are available in the music stores (for instance
3.5 TRS M -- 2x3.5 TS M and
3.5 TRS F -- 3.5 TRS F), or solder one yourself.
Explanation to the vocabulary:
Your headphones have a stereo male jack, which is
3.5 TRS M. It fits into a female
3.5 TRS F. The mount in the place is two mono female outlets, which is
2x3.5 TS F, and
2x3.5 TS M fits in them. So, you need a cable with
3.5 TRS F -- 2x3.5 TS M, or a combination of cables that give you this configuration. This is exactly what you show in the picture, however, there the two mono jacks are in a fixed distance, if you use cables, you get variable distance, hence less troubles.