That's actually a really good question, and in theory, I'd love to do that. However, most of us are lucky if there's one show in our local area - many of the shows are far away, and I can't afford to go to them between the plane ticket and hotel. One day I hope to be able to go to a couple a year, but for now, only my fish go. This will be my first year showing, so we'll see how it goes.
So, say you have a fish you really, really want to breed. You send him to a show. Usually he'll get there with no problem - usually. Then he goes into the show, into different water then he's used to, gets looked at, made to flare, lots of folks looking at him.
After the judging, show entrants have two options - sell the fish at the show auction, or pay (plenty) for the fish to be repacked and shipped home.
I can't afford to spend a bunch of money getting fish shipped two ways, and then take the chance that the fish will find the two-way shipping and the show too stressful and die en route or when they get home.
So, if he stays and is auctioned, you might pick up a few bucks to cover entry fees and the cost of shipping the fish in. I've seen auction fish go from $3.00 - $100+.
Having superior fish for a breeding program is more important to me then sending my very best to all the shows. Now, if you have a massive amount of great fish, maybe you'll keep some and send some.
Another benefit of auctioning them off is it gives breeders across the country the ability to buy quality fish without paying for shipping, and perhaps infuse their lines with some new blood for an outcross. This results in stronger, less inbred fish.
I would definitely recommend looking to see if any IBC shows are within your local area. Not only is it a neat experience, you can get some unbelievable deals on really sweet fish.