For the same reason that they're used (or used to be used) at baseball games: volume. Even a small hockey stadium is a huge place, filled with screaming fans, and the pipe organ has the oomph to be heard in that environment.

Nowadays, most use "electronic pipe organs." The one in Chicago's United Center, for example, uses recorded pipe organ sound, and cost something near $150,000.

It's not as fun as the one that was demolished with "The Madhouse on Madison," but it still sounds good.