That could be said about almost all intermediate, secondary stations that CrossCountry serves.
For example, why should they serve Durham? You can change at Darlington or Newcastle. Why should they stop at Tiverton Parkway? Nothing wrong with changing at Taunton or Exeter. And so on.
There is an undeniable value to having direct trains, at least as far as the nearest major hub (in Winchester's case Reading, for example).
The change being easy is no consolation if you have to change trains twice to travel from Winchester to Slough, for example. That's enough to put most MOPs off considering the train.
Oh, of course. Perhaps I should have been clearer - current low passenger numbers mean that not enough people have been inconvenienced yet for a stink to be raised.