"vcf" is the file extension for "vcard file". Vcard is the standard contact storage format, so you can read this into any contact manager. It will probably just write it to the top directory of your internal storage, though conceivably a different manufacturer's app could put it in a different place.
Do you mean why not in the Phone app's settings or the device's system settings? If you mean the phone app, that's because the contacts app is the thing that manages contacts. The Phone app is just one of the apps that uses them (message apps, email apps etc also use them), so the Contacts app is the logical one to do this. If you mean the system settings, they don't generally cover things that affect specific apps (though Google make exception for themselves in places). Putting contact management there would be no different from putting email settings, calendar display options, and once you start that your system Settings just becomes huge.