Here is an example of in wall electrical cable.
This is the cheapest grade and is not meant for general power outlets (GPO) use.
Reason why this cable is not recommended for GPO is due to the conductor area (1mm2). The cable will heat up when electricity passes through the conductors, this and a hot summer weather will warm these cables - increasing the resistance. Heat and long cable runs (length will also > resistance) will limit the cable’s ability to deliver current. More on this later.
Perfectly fine for lights, however not good for GPO purposes. You do not see a circuit that mixes GPO with lights (at least I havn’t lived in a house with a circuit like this ever).
Other in wall cables have thicker conductors - from around 1.5 mm2 up to 6 mm2. The thicker cables (> 6 mm2) are really meant to be used for electric stoves and ovens. This is usually just a single run from the meter box straight to your kitchen.
GPO typically uses 2.5 mm2. It’s also common to have thicker cables from the meter box, then branching gauges down the walls to the GPOs.
There are other differences besides conductor surface area. Things like the surface area of the individual copper strands, the number of strands per conductor and so on.
In general, as you go up a cable size, the cable becomes harder to flex, heavier in weight, increasingly more difficult/frustration to work with, and most importantly - more expensive!
Everything boils down to cost and practicality. This is why you are unlikely to find 6 mm2 cables in the light circuit, or 1 mm2 for your GPO.
In wall cabling isn’t that bad after all. My house has a pretty decent in wall cabling. For obvious reasons, anything less is fire hazard!