I'm addition to thermal issues others have noted... One reason is to keep the pipes as short as possible. Another reason is for internal volume efficiency. Yo

I'm addition to thermal issues others have noted... One reason is to keep the pipes as short as possible. Another reason is for internal volume efficiency. You could put the helium tank and other support equipment outside the LOX tank. However, there will naturally be some void spaces around all this stuff. This results in the second stage being larger and heavier. Putting it all inside the tank means that all the nooks and crannies can be filled with LOX.