- A player might not want to pay other players for their hand-me-downs.
- A player might think that using the AH is incentivising botting.
- A player might want to mold their character based on what gear they randomly find (a bit of a stretch, considering the blandness of gear in general, but possible).
Once you enter the realm of the AH, the rate at which you acquire power is essentially dictated by how long other players have been playing the game (due to inflation). Some might consider this kind of invalid as a game mode.
Finally, some people just like a greater challenge. Using the (gold) AH to obtain gear is not cheating, but it sure trivialises the game pretty quickly.
So yes, I support incentivising this play through either a self found mode or some sort of on-character indication.