They land back to earh requires an ungodly amount of fuel
Returning back to launch point requires an ungodly amount of fuel. Just have a look at the launch and landing curves on the photos from the last launch and give a thought on how much delta-V did the rocket have to counter to come back.
That amount of fuel may not be available for a lot of launches. For high orbit or large payload launches the first stage will have just the fuel to maneuver and land. So in that case they need the sea landing. It is not a "show off", it is a necessity.