The benefits for owning a book are the same reasons we still have books, and why people still buy books instead of a Kindle or PDFs.
The advantage of books comes down to something basic: interacting with them is different to interacting with e-readers, and in the better for a lot of ways.
Let's consider the case of a single user, with access to a single e-reader or several books.
A key concept: Books are transparent tools for reading. E-readers are not.
One major difference between books and e-readers is the concept of a transparent tool. A transparent tool is one you can use without having to consciously think about operating the tool in order to use it, because it gets out of your way when you use it - it's something you can forget you're even using.
An easy comparison to demonstrate the difference is between a pen, which is a transparent tool, and a keyboard, which is not.
When you pick up a pen to write, you're not consciously thinking of the individual actions of moving the pen up, down, left, across, or so on. You can simply write, and your motions transfer effortlessly through the pen to paper. By contrast, to use a keyboard to write, you have to consciously operate the keys on the keyboard, mindfully reaching for the right keys to produce the results you want. Advanced users will become more at ease with the keyboard, but it will never be quite as transparent a tool to use as a pen, which requires little conscious operation beyond our natural movements.
Books and e-readers share an analogous situation: the e-reader is less transparent than a book, though technical aptitude and being used to the tool can help. E-readers are getting better at being transparent tools, but they're not there yet.
Of course, this sets aside the difficulty of actually writing well and legibly, but when considering the transparency of the tool, how neat your writing ends up looking or how fast you write isn't so much of an issue: whether the tool you're operating gets out of your way is the issue.
What does this mean for books?
In general, books just do what they do exceptionally well, and they do it transparently.
E-readers might let you do some similar things to what you can do with a book, but their equivalents are limited. The e-reader's equivalent action may not be as simple and effortless as performing the same action with a book, and you, the person trying to read their book, may be restricted in how you can perform that action, such that you cannot do it in a way that better suits you.
- When placing bookmarks in books, you can use the method that works well for you or comes naturally to you. You can put coloured (or named) tabs in them, dogflap the pages, and so on. There are a dozen ways to mark pages. Despite being something small, this is one of the major differences, since for some, the e-reader's equivalent bookmark feature just doesn't work as well as methods such as coloured tabs poking out of the pages.
- Flipping to those bookmarks is a completely natural and effortless action. You put your finger in beside your bookmark and open the book.
- Browsing a book is easy, fast and flexible.
- You can leap variable amounts of pages at a time.
- For a book you're used to, leaping to an entire section can be as easy as flipping to a bookmark. E-readers offer something similar (if they have a table of contents), but it is not equivalent: you can't easily jump to the middle of a section, or so on. Muscle memory plays a helpful role here that it can't play with an e-reader.
- RPG manuals will often mark the very edge of pages, so that you can see the different sections whilst the book is still closed. That guides leaping between sections, and e-readers don't generally offer an equivalent yet.
- You can easily thumb between pages, keeping your fingers in past ones to go back and forth.
- You can open multiple books at the same time, and have then all visible in parallel, with little loss of ability to read or operate any individual book, given you simply have enough space to lay them out or prop them up.
- You can pass a book to a friend at the table, without losing the ability to read your other books. (This is hugely relevant to games like D&D, where the GM can have their book open, and each of the players can have a book open with content pertinent to them. The cases may be equal when everyone at the table has an e-reader, though I'm not sure this is common.)
- You can mark books: annotate them, write, draw, highlight, and so on. You can also leave post-its and other things in them. You can do similar things in e-readers, but they offer far more limited options, depending on the e-reader.
- Books don't run out of batteries or need a cable.
... and a lot more.
You can do a lot of these things given the right e-reader, and e-readers are getting better at making these things easier to do. But e-readers won't let you do all of them, nor do it as easily.
Plus, books can be nicer for other reasons.
In some cases, the electronic version might be missing content.
In D&D 4e, the Compendium offers no lore at all. The compendium will tell you almost nothing about how the Elemental Chaos and Astral Sea came to be, how the World was formed, the Dawn War that was fought, and the present states of the planes.
D&D 3.5e's SRD contains very little lore, some names are different, and entire swathes of books are simply not released.
There's also the fact that some people just prefer books. The emotional factor isn't without relevance: to some such as myself, there's something pleasant about being able to pick up a hefty tome.
E-Readers offer little in comparison.
E-readers can give you one device instead of several heavy books, and offer some features that books don't - you can't ctrl+F a book - but it comes with trade-offs in ease of use in virtually every department.
E-readers are just... not yet as easy to interact with as books are.