Humans have learned over centuries that some behaviors lead to undesirable ends (immoral). Other behaviors lead to desirable ends (moral). Morality is a collection of intelligent observations.
Explanations reduce human uncertainty. I've seen the nature of supernatural beings evolve over my lifetime as people's attitudes evolve. A supernatural being can take any form, assume any powers since it is "beyond" what we know.
Because living in a world that evaluates the bad things and forces us to confront them makes the world aware of what we need to do to change them and allows us to be more compassionate where we might not have seen it had we not thought more carefully.