It just makes it more fun for us, would you like it if you had an unbeatable character in your team or against you? They would steal the whole fight, or beat you all in a single blast of power. Not much of a roleplay is it?
All characters must have a weakness. You can very well say that they appear to be all-powerful, but must always have a few weaknesess that can be used against them.
"Ah, so the force-field must be deactivated by turning this 'knob' you have called it, at 180 degrees?" "Um...That's a door, it opens..." "Ah, now it makes sense!"