.cue files are there to inform your player about where songs/chapters start in a record. It's mostly for situation where you have ripped CDs as singular files and not tracks. It's a frequent occurence in lossless torrents (.flac, .alac, .wav, audiocd territory) and the reasoning behind that may be that it keeps the most exact copy of a CD without any user-side interference, and .cue files are text files laying alongside your cd rip (and probably a log of ripping). Such interference may also be seen as unwanted in some cases, e.g. when the record is mastered that way one track seemlessly flows into another, so any way to cut between them is arguable.

Lidarr can’t even get a reliable metadata provider or allow people to define their own without forking the project. It’s pretty mismanaged.