Early on, Liquibase only supported XML changelogs with each changeSet listed in it. There are many advantages to using that setup, but there are now many different ways to store your database changes.
One way to manage your changes is to store them in individual SQL files. Some people prefer this setup because it is similar to other tools they have used, because they find SQL more natural to work with than XML, or they prefer to work with smaller files in a directory than changeSets stored in a large file. It is also helpful when migrating to Liquibase from an older system that manages changes as individual files.