From my understanding, the reason for this is to give candidates with less funds and less name recognition an opportunity to bubble up. Imagine that if the primary consisted of all states at the same time, candidates would need to campaign nationally, or only in the most populous states, either of which would cost tons of money. This would make it so that only candidates already starting off with massive campaign funds would have any chance.

One possible alternative approach would be to start with the smallest states (either by population or by area), one at a time, and ramp up to multiple largest states at the end of the primary cycle. This would give candidates a viable way to ramp up their campaign funds and name recognition. The only problem with this approach would be that the smallest states tend to be very white, so perhaps some adjustments would need to be made to make it more representative of the demographics of the country as a whole from the beginning.