It's just a matter of tradition, style and skill. Traditionally the thick, hard foam with bigger bubbles is used in Italy for Cappuccini. Same goes for espresso macchiato. Sometimes the milk foam is spooned on top of the espresso. In other countries they often imitated italian style coffee, which is why e.g. in Germany the foam is usually very thick as well. In Australia they developed italian coffee culture further and usually froth more silky (and make flat whites with it).
When it comes to skill, it is much harder to produce silky foam than the "traditional" foam. You have to start with cold milk, then introduce air at first, but also not too much and lastly spin the milk/foam mixture to break up big bubbles and to work the froth into the milk. In order to do all that you have to get the depth of the spout in the milk right, you have to get the angles right and you have to be careful not to heat the milk too much, because otherwise the foam will become too thick and hard (and the milk will get bitter). For the thicker foam you can basically just put the pitcher under the steam wand, let it sit for a while and come back. Not gonna be pretty what you fine there, but it works.
Third wave and specialty coffee shops usually froth the milk to a silky texture, so called micro foam. That's a different style and there several reasons for it why it is done that way. The most important one is that the taste is superior. Frothed milk above 70 degrees starts tasting bitter. Most specialty coffee barista probably froth the milk to somewhere between 62 and 64 degrees. That way you get a sweet taste and micro-foam. For the thicker foam you would need higher temperatures and thus destroy the taste of the milk.