IMHO, it was for the 'Prestige' of doing that trick. And to keep up the 'illusion' that there was only one Borden. Borden had to show the world that he was a normal man, who had a wife and children, specially to Angier. Otherwise Angier would have suspected something was off. Borden points to the china man and says "This is the illusion". And as Angier says in the movie, "no body cares about the man in the box". It was the magician on stage who got all the praise, and as magicians, they needed that. The Transported man was the last trick  , after which Borden had to step out into the streets, there was no time to switch back.

The only way they could keep up the 'illusion', and enjoy being the 'prestige' at the end of each show was to switch themselves at each show.

IMHO, it was for the 'Prestige' of doing that trick. And to keep up the 'illusion' that there was only one Borden. Borden had to show the world that he was a normal man, who had a wife and children, specially to Angier. Otherwise Angier would have suspected something was off. Borden points to the Chinese man and says "This is the illusion".

And as Angier says in the movie, "nobody cares about the man in the box". It was the magician on stage who got all the praise, and as magicians, they needed that. The Transported Man was the last trick, after which Borden had to step out into the streets, there was no time to switch back.

The only way they could keep up the 'illusion', and enjoy being the 'prestige' at the end of each show was to switch themselves at each show.