The HDRI files are spheres mainly because they are used on an invisible "dome" or sphere that encloses your scene. That's really what a REAL atmosphere is, a 360 degree light source, with the SUN someplace in it (or NOT, if it's set). The HDRI Light Probe file captures much MORE of the lighting information than does a regular photo. (You CAN use a regular photo too, but it won't look as good- mostly somewhat FLAT as a lighting source).

Some of the interior HDRI spheres are really good (like St. Peter's)because they include a wide variety of reflections, secondary window-light sources, etc, which look especially nice on things like crystal or polished-up automobiles.

It's worth learning how to set up your own HDRI scene because you can re-use it over and over- just change the models, or the backgrounds, and you can have your own HDRI Photo Studio...