Because you can't take arbitrary external subsets of sets in *V. Every infinite set in *V is going to have nonstandard elements. (You can create internal subsets following the rules of ZFC. E.g. consider a nonstandard natural n. The natural numbers less than n form a set by replacement (clamping N by n-1). But this isn't a (sub)model of PA, and it contains nonstandard numbers (e.g. n-1).)
That's why we construct W to let us build more interesting subsets.