The gameplay reasons for being able to build roads where you want them are:
1. defense network: one army can cover a broader space. Think of what the romans did with roads - they put them both to and along their frontiers.
2. faster movement: If you have long distances to cover in a repeat fashion roads reduce the overall drudgery effect.
3. Offense: It is possible with a good road network to assemble an army to attack quickly anywhere along the border.
I do not agree with a system that does not allow road building, for a cost in time and money, where ever the player needs them built.