The reason why the villagers "have" to have a lottery is simply because the lottery had become a tradition that has been followed since the time of the villagers' ancestors. As a result, the villagers have become so used to repeating this practice over and over that they do not even find anything right, nor wrong, with it. In fact, the villagers themselves may not know why they even hold a lottery, however, they do not question their automated response to it: that of doing it, for the sake of getting it done.
The villagers clearly represent that side of society which blindly obliges the repetitive monotony of unquestioned traditions and practices. People like this often do things without knowing why, and only because "the others" prompt them to do things. This is the basic message that Shirley Jackson intends to convey upon her readers: that humans have a great capacity for good on evil, and that this capacity can only be overcome by always questioning the purpose of our actions. When we stop questioning the purpose of our actions, and become automated, the chances of falling within the cracks of society, and even evil doings, are quite higher. Hence, the villagers saw nothing new, nor out of order, in the brutal stoning of Tessie Hutchinson.
A good example of the town's ignorance towards the practice of the lottery comes when the narrator tells us how the practice is so old that its symbolism has been forgotten throughout the years.
... some people remembered [that] there had been a recital of some sort, performed by the official of the lottery, a perfunctory. A tuneless chant that had been rattled off duly each year...There had been, also, a ritual salute, which the official of the lottery had had to use in addressing each person who came up to draw from the box, but this also had changed with time
Moreover, at the mere suggestion and questioning of the lottery, those who ask get a rude response, appealing to the lottery "always being there", and to how ridiculous the idea of stopping the lottery would be.
Next thing you know, they'll be wanting to go back to living in caves . There's always been a lottery
However, nobody seems to ever question its origin, its purpose, nor its fairness. A further example of how the mentality of this villagers is quite limited is the black box. As they realize how old and beat down the black box is, many suggest a replacement. However, as the narrative says, this particular topic just "fades away" and nothing is "being done" about it.
Therefore, it is safe to conclude that the villagers merely practiced the lottery, but had not taken any steps to know what they are doing, nor understand the meaning and goal behind this practice. This is, indeed, a very scary and sad reality about many individuals and groups alike.