Indeed.
I was always taught that evolutionary theory is not a theory about why the fly has a compound eye, but a theory about what forces drive change in species over time, and what mechanisms accomplish it.
"Why" questions are noncontroversial in the case of structures with a clear and specific purpose, like the mosquito's proboscis, and speculative -- I might, if I were feeling testy, say, idly speculative -- otherwise.
I remember Richard Lewontin years ago, at a rather rowdy party, asking -- rhetorically, in a discussion not unlike this one -- "why are there no organisms with wheels?" Sort of an evolutionary-biology koan.