Because hiring the first candidate shows a lack of thoroughness and leads any impartial observer and other candidates to the conclusion (many times rightly), that the actual process was a farce and the decision was already made. I've seen plenty of people get into real trouble based on that practice.
If you trust the person who is doing the job, which is what my bosses do with me, you know he's going to do his best to pick the right person.
When we have a job opening, the resumes come in and I determine from those who I believe has the qualifications to be interviewed. Usually, if it's a person with some experience in the field, I look at their portfolio to determine if I feel they might be right for the job. I've also already checked their background and former employers/references. The interview really is just to find out how they will fit in personalitywise. I don't need too much information beyond the resume and portfolio.
I would say the Joneses probably use a similar approach, talking to those who worked with/for McCarthy, GMs that they trust, former head coaches who they talk to, players, etc. I sincerely doubt this was just a whim decision.