Former 5 time a week gym member here.

Treadmill at the gym has HVAC, no cars that blow red lights and almost kill you. You can have a conversation with someone while you are on treadmill or you can safely put on headphones and rock out. You can run yourself ragged, and all the water and benches you want are just a few feet away instead of being another exausting run back to your house. The gym is usually secured with a key or fob. There are other runners there who have great knowledge about shoes, technique/form, workout routines...etc etc.

Lots of reasons why you would drive to the gym and run, instead of just running to the gym.