The main reason so many lower-power-consumption items use external wall-wart power supplies instead of internal power supplies is because in most places, below (approximately 48, 50 or 60 volts, depending on locale) volts going into to the actual device, you are in a class where all your safety certifications, etc. are then only needed on the wall-wart itself, so you just use properly certified pre-made units for a given market.
Your mains electrical safety is all then handled by the wall-wart so you just have to contend with EMI radiation, etc. where applicable on your actual device. As soon as you build the power supply into your device, you have to get all that stuff certified to the appropriate standards for each market you sell into.