Why do we need to bundle out web application for deployment?

When we publish the web application to production we usually bundle it and the entire bundle (main.js/venndor.js) gets downloaded on the browser.

Why cant we serve files as it is (other than vendor files), one at a time, obviously after compressing them but not bundling them together?

What are the advantages and disadvantages of deploying single files instead of bundles, I understand there is limit in terms of how may resources browser can download at a time, what else is stopping us other than this?