I'd die too pulling vapor (or smoke, if I still smoked) directly into my lungs. I tried once. Not twice...
But there's something else: I use my mouth the way barmen use those measured bottle pourer to fill shot glasses. Sucking vapor into my mouth before inhaling puts an upper limit to the amount of nic I inhale in a lungfull. Maybe it's silly because vaping isn't very harmful, and because I can always take more puffs. But vaping is an addiction, and I like anything that naturally puts a limit on my addictions.
Also, your mouth acts as a safety buffer: if you feel the dreaded dry hit in your mouth, you can blow the puff out immediately and not let it reach your lungs.