Why do computers have internal speakers?

From Wikipedia:

The PC speaker is generally the first output device to be activated during the boot process of an IBM-PC derived computer. Since it is active before the graphics card, it can be used to communicate error codes related to problems that prevent the much more complex initialization of the graphics card to take place. For example the Video BIOS usually cannot activate a graphics card unless working RAM memory is present in the system, while beeping the speaker is doable with just ROM and the CPU registers. Usually, different error codes will be signaled by specific beeping patterns, such as e.g. "one beep; pause; three beeps; pause; repeat". These patterns are motherboard specific and are usually documented in the technical manual of the motherboard.

if you read more, you can catch where they are used. and your last question will be related with type of motherboard ..but for sure, it's rarely used nowadays.

For IBM PC-compatibles, POST beeps. The speaker can be controlled from software, but the interface is very crude, and keeps the CPU fairly busy.

Other computers (Mac, Amiga) have more impressive internal speaker interfaces, and can do more.