Because Mahdawiyyah represents what all prophets were sent for - namely, building a monotheistic world on the basis of justice using all the capacities that Allah the Exalted has bestowed on humanity. This is the era that will come after the reappearance of Imam Mahdi (God's greetings be upon him and may God hasten his re-appearance): the era in which monotheism and genuine spirituality will be dominant over the entire life of human beings, the era in which justice will be established in the real sense of the word. Well, this was what prophets were sent for.
The Shias are awaiting the arrival of the promised savior-- Imam Mahdi (a.s.) -- and are not lost in their fantasies; they are searching for an existing reality. He is alive and lives among the people. He sees people. He can feel their sufferings. Those who are lucky enough and have the capacity sometimes meet him without recognizing him. He does exist. He is a real human: a known being with a given name; his parents are known and he lives among the people and with them. This is how our—the Shias’—belief is. And the followers of other faiths who do not believe in this reality have never been able to provide any logical reasons to reject this belief.
There are several obvious and strong reasons, also accepted by Sunni Muslims, which are a testimony to the existence of this exalted servant of God. All these reasons provide evidence that Imam Mahdi (may our souls be sacrificed for his sake) is living among us - and we are all aware of his characteristics. This is what has been cited in many non-Shia sources as well. The birth date of the pure-hearted son of Imam Hassan al-Askari (a.s.) is known to everyone. His miracles and those who are connected with him are also known to us. God Almighty has granted a long life to him. These are the characteristics of the Imam of the Time (may our souls be sacrificed for his sake) whom all the nations of the world, all ethnic groups, and people from all faiths and races have been impatiently waiting for at all times. These are the beliefs of Shia Muslims about this important issue.