where does this ESD come from
The gate may be controlled by external signals, or by circuits/networks that pass ESD from external sources. Button-controlled electronic switches are notoriously susceptible to ESD.
Also, remember that the protection isn't really "at the gate". It's between two terminals, and will protect from any situation where an overvoltage condition would exist between them. The source and the gate are thus equally susceptible: it doesn't matter where the hit comes, what matters is that the gate-to-source voltage is too high. Holding gate "steady" and hitting the source is equivalent to holding the source "steady" and hitting the gate!
Thus, the protection extends to source and drain pins. Reverse polarity ESD pulses will be shunted across the channel by the body diode. Positive ESD pulses may cause trouble still, but the charge and energy needed to destroy the device while it's avalanching in forward breakdown is much higher than what the gate can take - potentially orders of magnitude higher.
As for "why bundle the protection"? Just think about costs: do you really want to have to add an ESD protector? You're already paying for a semiconductor device, and most of its cost is in packaging and testing. The tiny semiconductor die inside is almost free (<10% of the cost for a discrete device like this, IIRC). Throwing in an ESD protection for the fragile gate is a no-brainer. It'd be almost ridiculous not to.
So why it's not done in all discrete MOSFETs? The protection device has some non-ideal characteristics, i.e. adds capacitance and nonlinearities that cause distortion. This is of no concern in many applications, but not all. The protection diode is not suitable when lowest gate leakage is desired, or fastest possible switching. Distortion may be problematic in some RF applications. But it's a very good thing most of the time!
Curiously enough, ESD can be a hit from body through an "insulating" case. This happens often enough, especially with cheap cases. All it takes is there to be a tiny crack in the plastic - not hard to come by when dealing with hand-held stuff, or stuff kept in pockets. Or just the natural gaps between separate plastic parts. Over time the crack/gap accumulates some wet salt and other junk from sweat and it's like having your own very special ESD test setup :)