You generally split targeting for two main reasons.
1. Controlling Budget
Segmenting targeting across geographical areas can allow you to control your budget at a more granular level. For example, if you want to spend 30% of your budget on France and 70% on Germany, splitting the targeting will allow you to achieve this by using multiple campaigns.
2. Understanding Performance
Segmenting the target also gives you greatr insight into which of your targets are performing the best. For example, if you split your target by age, gender and region, you may identify that shoes sell well to men in France between the ages of 25-30 etc.
Be careful to ensure your use of this data complies with Facebook's policy however: https://www.facebook.com/ad_guidelines.php
Over-segmentation
Facebook's algorithms work best when there is a large population within the target. Over segmenting your campaign could result in the overall performance being weaker.