If you play a high-gain amp, you basically create your distortion through your pre-amp, or pedals in front of the pre-amp. The power amp section simply acts as the driver for the speaker (very simplified, I know). So anything you do before your signal goes into the preamp will be processed by the preamp - including distortion of the signal. Things like reverb will cover quite a different frequency range than your original guitar sound, and will react quite differently to distortion. Feeding a reverb into a preamp distortion is a great way to illustrate this
So an FX loob basically adds an interface between your final guitar sound and the speaker driver. That's where you can have a pure effect on the original signal.
In "theory", stuff like real-life chorus, echo, reverb, etc. happens AFTER the speaker, but that's technically hard to implement. So having them as late in the signal chain as possible makes these fx act in their natural way.
That doesn't mean you must not use a delay to feed your pre-amp. If you like a hairy mess of a signal, that is
. This can however be done well with amps that don't distort/overdrive the signal. YMMV. And in the end, as long as you sound great, and others think you sound great, the result justifies the means.