Allows for a variety of mains transformers for different world voltages. Buy who uses modems anymore? Most mains supplies these days are switching, and allow for a range of input voltages and line frequencies.
Usually they do this so that they can use a smaller wall-wart for a given power output. Also, by putting the filter caps and the rectifier inside the modem, you can easily have both positive and negative supplies while using a standard 2 wire plug.