I think in a situation where a direct "why" could sound abrupt or demanding, "how come" is received better by the listener.
For example:-
The boss asks the employee: " Why wasn't this work done yesterday?".
The employee asks the boss: "How come I didn't get a raise this year?".
Of course I am not suggesting that you give such cheeky replies to your boss :) The two examples are not those of a contiguous conversation.