I suppose that it's different reasons for different people. Aside from just being fun to shoot they offer a little more challenge when using them to hunt. One thing I enjoy about shooting them is experimenting with different loads in an effort to find the load combination that will make my rifle shoot it's best.
In this hi-tech world we live in today they offer a step back in time that I really enjoy.
Another thing that I enjoy is the fact that I can take a pound of powder and 50 balls and shoot for hours. I can buy a box of .22 and a semi automatic rifle and shoot them up in a couple of minutes.
I have been shooting muzzeloaders since 1970 and it has been an ongoing learning experience. I am still learning new things about them.