Because they want you to learn from their experiences. When mentor share their failures, their success become more believable. They want you to learn from their success and emulate and as well learn from their failures by not following such footsteps.
Therefore lessons learnt from personal experience of a mentor either success or failure has an impact in the life of the individual been mentored. Sharing their personal experiences will enable you to know more about life, the right things to do and the right steps to take.
When relaying the details of what happened in a conflict or when trying to solve it, it is best and most helpful when people are informed of the specifics as to not miss any vital details that might impact the decision or resolution.