As Tom said, giving the host site as much income as possible encourages them to run more events - if they don't make any money (mostly to buy the paint themselves and pay the marshals) then they won't hold walkons, as they could make a tonne more by taking extra rental bookings. There are few enough willing paintball sites as it is, the more we can support them the better.
On top of that, you might save £5 per box by buying elsewhere, but by the time you've paid delivery or the hassle of picked it up yourself and storing it properly, it works out pretty similar. It's also common for sites to charge a slightly higher entry fee if you're not using their paint so you don't really get any savings at all.