First of all, we should note that works of art can be considered primary sources. However, your question is still a valid one. If we know history only through the creative arts we can misinterpret what things were like in a given time and place. We can do so by taking the creative work too seriously as a representation of the opinions of the people of its time and place.
For example, if we were to try to understand the antebellum North only through Uncle Tom's Cabin, we might misunderstand that time. We might think that all Northerners were very much opposed to slavery. We would be wrong because we would be equating Harriet Beecher Stowe's ideas with those of all the people of that society. Therefore, we need more purely historical sources to help us put the works of art into perspective.