Because the Fiery does it's own RGB to CMYK conversion. Generally it's best to work in RGB regardless of what old school printers tell you. Each type of printing nowadays has it's own CMYK profiles that are used to match the RGB profile of the original. If you convert to CMYK you take away the Fierys ability to adjust for it's own printer profile.
I'd like to take this opportunity to point out that a Fiery is not a printer but a RIP Station that is attached to a color laser printer or copier. Hell you could set up a Fiery with an inkjet. It's all about the quality of the printer not the Fiery. Technical schooling over.