You mean in words like man, have? I think it is so just for historical reasons. Other reason is to make the similar spelled words look different.

Transliterated Russian words are always a problem for english-speakers. True, it is logical to use j to show palatized sound. But the problem is, it wouldn't help a lot to pronounce those correctly. I had many talks with english-speakers and even after I say many times how should it sound, they cannot get it For a german man it is however not a big problem.

Well, as mentioned before, a single transliteration scheme would be nice, comparative to each individual scheme. I note I speak English, and I think I pronounce palatalised consonants pretty well (then again, experience with Spanish ñ might have helped alot).