Yes, because Cover Trees are sometimes too slow. In fact, I asked myself this question, not for the build time, but for the search time if the data has a structure. Imagine, what would happen if your data was more a less a regular grid? When I tried that, starting with a point at (0,0), then (1,0)… the first node (0,0) had references to all the last points (9,9), (9,8)… And I figured, it would be slower than a tree search. So I decided to give kd-trees a shot for this kind of search on a regular grid.
