It is to do with contrast, look at the wrinkles in your shirt, see how wide the difference is between the lightest area and the darkest? This is because of the light, the material is the same colour in both places. However because when you scale down a person sized thing (a figure) you are still looking at it under a 1:1 scale light source, the depth of the detail will not produce the correct tonal range just purely using light. So to represent the depth of the full sized object you need to help add the illusion of depth by painting in the shadows. It is the same reason you paint highlights, what was your understanding of the reason for highlights?
Otherwise your figure looks flat, and all the detail will not stand out as 3 dimensional.