Put simply, the reticle has hundreds of copies of the die on it, and the reticle is a standard size for both big and small die sizes, meaning it would be more work to avoid doing photolith on the edges than to blindly do it.
This goes for all process layers, from doping to metallization. Edge dies are made simply because it would be more complicated not to.
Edit: I am an integrated circuit designer, and in college I worked in the photolith department of an IC fab. The last thing we do after design/layout/verification and before sending our reticles off to be manufactured is a final layer-by-layer visual inspection of the reticle, which contains huge arrays of the die at a fixed total size. The reticles are a fixed size, the photolith magnification is a fixed size, and so the photolith machines take a fixed amount of time to process a single wafer.
For a very big die size, you get more edge based yield loss. This is true for smaller wafers as well. Until they come out with a square silicon wafer, the best you can do is keep your die size small relative to your wafer size, at least in your production environment.
Edit 2: to expand on "Edge dies are made simply because it would be more complicated not to", I mean that if you did not step your reticle so it went all the way to the corner, you would either need to change your step pattern to avoid the corners entirely and suffer yield loss from the complete dies that would have been made from the inside corners of those reticles, or else design custom reticles that you had to swap in when you got to the edges of the wafer. The marginal cost of stepping a few extra fields is almost nothing (maybe a couple seconds total on the lith machine), and in general it gives you extra units, especially for small die size parts.