The idea behind grinding up egg shells is primarily being able to dose correctly and to ensure as much of it as possible is properly absorbed.
Dogs who eat a raw diet that contains plenty of bone already don't need egg shell powder as a supplement, they can just crunch it up as a snack and it doesn't really matter what happens to it afterwards. In a boneless diet (e.g. cooked food) you want a calcium supplement to disperse itself fairly evenly.
Another reason is that sharp, gritty little pieces of egg shell can irritate the stomach, especially of dogs/cats who are sensitive already, or not yet used to a diet that isn't as uniform in texture as commercial food. Even though the stomach acid
is pretty strong that doesn't mean it instantly dissolves everything.