You tie up more working capitol of fast movers trying to shuttle from South Africa towards the front lines than it would have cost to build a factory or two right near the battle lines in the Middle East.
You can accelerate movement with a couple transports and a naval base, but again this is expensive. Also vulnerable to German or Japanese bombers.
The only reason not to have Middle East allied factories is if you have to fall all them way back to Egypt but still have a chance to stay competitive with a strong Western European foothold, such as liberating Paris or Rome.
Well depends what you do with the egypt transport you start with. If you just add 1 additional transport you already got your supply chain there for 2/3th of a factory.
But yea your right that they are verry volnerable to air attacks but can be usefull in mopping up italian forces in your rear areas.