Password managers want to also manage OTP because they're in the business of making authentication easier.
But there's a trade-off.
Managing OTP (or any other truly additional factors) in the same place as your passwords shifts the risk model. It pools multiple independent factors into a single attack surface. This turns the system(s) running the password manager into a higher-value target.
The increased risk may be acceptable for general users, but it is riskier for targeted / high-risk users. (The rest of my answer takes the high-risk users as the more interesting case.)
If OTP codes are stored on an independent device, by contrast, then compromise of the system(s) hosting the password manager (while still obviously bad) does not provide instant unfettered access to all accounts stored in the password manager.
Of course, a user can always check the "don't require OTP on this system" checkbox. High-risk users can skip that option, and require the OTP at every login. If they do so, then if they surf the web from their laptop but use a phone-based OTP app, an attacker must compromise both endpoints - the surfing system, and the phone - to authenticate as the target user on OTP-enabled websites. (Which is the fundamental value proposition of MFA.)
And it's important to remember that storing OTP in your password manager is not an "either/or" situation. Some users might choose to store low-value OTP codes in the password manager, and high-value OTP codes somewhere else. (Corollary: it would be great if the password managers could advise users about the trade-offs, so they can make informed risk decisions!)
Not storing OTP separately decreases the cost of (targeted) attack. But as always, whether or not that matters depends on your threat model.