Embassy doesn't want visa applicants making multiple trips. They don't want to do the security screening of each applicants twice, first on the day of interview and then again on the return trip. They allow the visa applicant to enter the embassy one time during the interview. After the interview, applicant has to leave the passport at the embassy. They will send the passport back via post.
US Visa is a big paper sticker that need to be attached on the original passport. If US embassy does not keep the passport, how does they put the Visa sticker on the passport? It is not like the eVisa from other countries that can be sent out by email separately.