I have always assumed that the reason you address the station is you are making them responsible for your MayDay call and giving them time to prepare. If you just issue a MayDay call and do not address anyone, then it's like other things in life, you address everyone and hoping someone will pick up the responsibility. Also, by doing that, you are giving them a wake up call to start receiving all your vital information.
When you say MayDay, MayDay, MayDay, everyone sits up and listens. Then you address a station and they know you are talking to them so they prepare to receive your information and they know they are being made responsible for it.