Isn't it true that LCD display units only have ribbon wirings on their bottom (or any one side)? So, this should leave the other sides from covering up their edges, shouldn't it? I have read somewhere that it is just a mere protection system, but if that was true, manufacturers would've easily avoided them in those multiple display walls, where bezels are the only trouble.
To answer the question, why are TV bezels there: they are there for a technical reason. It depends on the actual technology used, but in most current TV sets, the bezel contains the LED lightning electronics, which they don't want to put behind the screen, because then it would make the TV thicker. See page 10 of this document.
Manufacturers tend to make the bezels narrower, which is a good thing for the amount of space the TV requires (and it looks cool in the shop), but is a bad thing from a UX point of view. Most users find that the bezel gives a certain contrast, a border between the picture on the screen and the background. The narrower the bezels, the less contrast and not everyone enjoys that. Unfortunately, I don't have any real research information on the topic. This is purely based on what I read on forums, and reviews of TV sets.
Hardware limitation & protection. Bezel is required as the "frame" for your TV. Heavier and fragile TV panel will require decent "frame" to hold it up and protect it from bumps and lifts (even some accidental drops).
TV manufacturer could also use a solid, strong, and slim material (which result in thinner bezel) such as alumunium or other metals to protect the panel, but those materials are expensive and will have impact to the TV price. Using plastic is the most economical solution, but how thick the plastic (how big the bezel) depend on the what inside the TV and how well it could protect it.
That is also one of the reason why most TVs with thin bezel are expensive.