"Why do we need all this, isn't the sound recorded on set while shooting?"
Yes, it is. But on set, the main focus is to get clean dialogue, with most other details being simply too quiet to get caught nicely. And there is so much more you'd like to hear at the cinema!
In other situations, something should sound like marble or concrete, but the entire set decoration is built from cardboard...
A Foley artist can precisely create all this on isolated tracks, which then can also be better controlled during mixing.
In short: Every film benefits from proper Foley recordings, and that goes for documentaries or radio plays, too.