As John said, the distribution of the components within the steel is better. I've used conventionally made steels where different sections of the blade oxidized while others didn't, these different zones will mean a blade with varying edge holding abilities and also have zones where it's more likely to be weaker. The more thorough mix that powdering the steel prior to sintering results in will avoid these pitfalls. I believe it also minimizes grain growth within the steel that comes with slower cooling times, conventional billets can take days to cool where smaller formed bars cool faster and exhibit the finer grain which is better for blades.
I don't know of any steels that "have" to be powder formed, it's simply beneficial to do so. For example, the powder version of ATS-34, namely RWL-34 is a very notable improvement. It's a great steel either way, it's just better when it starts life as a powder.
As far as not forging them, there I can't help, I'm a stock-removal maker, hopefully a hammer-wielder will weigh in.
Gazza