Why does Acrobat Pro ask me to install additional components when converting a fillable PDF to PDF/A, even though Preflight is supposed to be included with Acrobat Pro?

Basically to save download time during the initial install. Preflight is only used by a small, but important, core group of users. 

That's usually expected the first time you use certain Preflight features. Even though Preflight is included with Acrobat Pro, some components are installed only when they're needed. If the prompt is coming from Adobe and you're allowed to install software on your work PC, it's generally safe to let it complete the installation. If you're on a managed corporate device, you may need your IT team to approve or install it.