My guess is they need someone to test all their new weapons on.
War also has something of a stimulating effect on their economy (as long as it doesn't come to their home turf, at least) and the masses always need some sort of bogeyman to give them a better target for hate than their next door neighbour.
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"God. Can't you people see I'm trying to commit a crime against science and nature here?"
-- Reed Richards
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