The aliens have come to provide the humans with a "weapon" or "tool" that they will be able to use to return a favor to the heptapods in 3000 years.
Much of this is explained when Louise meets with Costello on their ship. Communication has been cut off from the other nations and is preventing them from collaborating.
Louise: I need you to... to send a message to the other sites.
Costello: LOUISE HAS WEAPON. USE WEAPON.
Louise: I don't... I don't understand. What is your purpose here?
Costello: WE HELP HUMANITY. IN THREE THOUSAND YEARS, WE NEED HUMANITY HELP.
Having the humans work to solve the puzzle helped to achieve a larger goal.
Give a man a fish feed him for a day, teach him to fish and feed him for a lifetime. The process of learning something for yourself provides a deeper and lasting experience than if something is simply taught to you.
We help humanity
The heptapods came to Earth to help humanity by providing the "weapon" that opens time. The humans could only receive this weapon by learning the heptapod language. This is established in the movie that there is a theory of linguistics that says that by learning another language you essentially are rewiring your brain and changing the way you think. This is how Louise receives the "weapon".
If the heptapods had shown up simply speaking English, then the humans would not have received the "weapon."
Why wouldn't they show up and make things easier by saying in English, "Hey if you learn this language you can see the future! Classes start tomorrow!" Well for the same reason they wouldn't send a message to the other sites for Louise. They wanted her to use the weapon to stop the war.
My interpretation here is that being able to see the future was not the full reason the heptapods came. They came to act as a catalyst for human progression and help the nations of Earth become unified as a planet and achieve world peace. By giving the humans 12 pieces of a puzzle and making them work together to solve it, they are helping them work towards a unified goal instead of fighting wars. The humans had to realize the value of the weapon themselves and decide to work together.
In 3000 years we need human help
Without arriving and setting forth the events that would bring Earth together, humans would not be prepared to provide whatever help the heptapods need in 3000 years.