There are a few advantages to a sky crane. Less ground material gets kicked up
in the vicinity of the rover because the thrusters are higher off the ground and angled outwards. This means less damage to the rover from dust and rocks. Being higher up places the landing stage out of the dust cloud that does get kicked up so that the landing sensors are not interfered with. The rover can be placed directly on the ground, so there is no need for additional protective enclosures or ramps, freeing up payload mass for the rover itself. Along those same lines, the landing gear (wheel supports in this case) can be lighter, because it does not need to hold the mass of the sky crane. The landing can also potentially be softer because the sky crane / rover system has already come to a full stop several feet above the ground, and the rover can be lowered slowly. Excess hydrazine (a somewhat volatile mono-propellant used by the sky crane for thrust) that might explode during a traditional hard landing or accidentally vent, possibly fogging up sensitive cameras, is moved far away from the rover after the rover lands.
It is a very elegant solution for a rover landing.