2 Reasons -
1) From VKB side, there is a hill range before Parli. Constructing a railway in this area would have required tunnels and other complicated constructions. This was never projected to be a high traffic route, and it was constructed in the early 1900's, so they deemed that it was unnecessary to go for a complicated alignment through the hills and chose to run the tracks around the hills.
Now, even while running the tracks around the hills, they could have aligned it in such a way a reversal would...
more... not be necessary. In that case the station would have been far from the town. This is where the 2nd reason comes in.
2) Parli-Parbhani was already constructed on MG by the time the BG route between VKB-Parli was completed. Since there would be a change of gauge anyway at Parli, they felt that it would be more convenient to have a terminus style station near the town, than a passing station far away from the station.
In the pic above, the island platform on the left was the original platform at Parli (The one on the right came up later). The left side was for MG trains and the right side for BG trains. There were 2 or more loops on both sides for holding freight rakes and for shunting the locomotives.