dns zone - Why do website host handles dns to resolve services(mail.domain.com ftp etc) instead of the domain registry?

I have bought a new hosting service, and needed to change the name servers pointing to the new host for my website. When I did , all other subdomains especially ftp, mail subdomain and mx record broke.

I was told I have set up the dns resolution again in my host cpanel to fix this. So I wonder why cant it be set up in the domain registry? Why not point the website to the host which have all my files, and the rest leave as it is?

My suspicion is, correct me if Im wrong. That in able to find the domain.com IP, it needs go through the domain "." root then "com" top level and finally my domain. Once it finds where its sitting, it resolve the rest of names like @, then mail subdomain , ftp etc.But since it doesnt have any record to where to find it , it just stops. The thing is why cant it just go back to the domain registry to find the other info?

Please do let me know If Im understanding this all wrong.

PS: Current situation is I have a website in a cloud server on rackspace, our website points to that site and mails, ftp etc points to other server. So if this works why do I have to change the dns records in my hosting too. Really confused.