Why do you need to create a cursor when querying a sqlite database?

Just a misapplied abstraction it seems to me. A db cursor is an abstraction, meant for data set traversal.

From Wikipedia article on subject:

In computer science and technology, a database cursor is a control structure that enables traversal over the records in a database. Cursors facilitate subsequent processing in conjunction with the traversal, such as retrieval, addition and removal of database records. The database cursor characteristic of traversal makes cursors akin to the programming language concept of iterator.

And:

Cursors can not only be used to fetch data from the DBMS into an application but also to identify a row in a table to be updated or deleted. The SQL:2003 standard defines positioned update and positioned delete SQL statements for that purpose. Such statements do not use a regular WHERE clause with predicates. Instead, a cursor identifies the row. The cursor must be opened and already positioned on a row by means of FETCH statement.

If you check the docs on Python sqlite module, you can see that a python module cursor is needed even for a CREATE TABLE statement, so it's used for cases where a mere connection object should suffice - as correctly pointed out by the OP. Such abstraction is different from what people understand a db cursor to be and hence, the confusion/frustration on the part of users. Regardless of efficiency, it's just a conceptual overhead. Would be nice if it was pointed out in the docs that the python module cursor is bit different than what a cursor is in SQL and databases.

You need a cursor object to fetch results. Your example works because it's an INSERT and thus you aren't trying to get any rows back from it, but if you look at the sqlite3 docs, you'll notice that there aren't any .fetchXXXX methods on connection objects, so if you tried to do a SELECT without a cursor, you'd have no way to get the resulting data.

Cursor objects allow you to keep track of which result set is which, since it's possible to run multiple queries before you're done fetching the results of the first.

According to the official docs connection.execute() is a nonstandard shortcut that creates an intermediate cursor object:

Connection.execute
This is a nonstandard shortcut that creates a cursor object by calling the cursor() method, calls the cursor’s execute() method with the parameters given, and returns the cursor.