Why is the shipping address included on the invoices export?

Primarily for tax reporting purposes! The shipping address will export out with the invoice information when Export Invoices is used. It will appear at the end of the export and might require additional mapping to your financial software. 

If "Will Call" is selected, your company address will be used as the shipping address.

If the order is a B2B order, the shipping address will show only for addresses that allow taxed shipping; if the address is non-taxable, the shipping address will be left blank.