That's a good question. When you look at the power adapters from Menards, Miller, and so on you don't see "LM317" or "linear" in the description. It will instead say "powers up to 5 buildings" or "powers up to 10 signs" or whatever. End-users want to know WHAT the product can do. HOW it is done is less important...ignore the man behind the curtain!
That said, suppose we dive into the HOW. There are two basic circuits for voltage conversion/regulation: Linear and switch-mode. The LM317 is just an IC chip that employs the Linear circuit method. For the "buck" modules frequently discussed on OGR, you might see "LM2596" which is a different IC chip that employs the switch-mode circuit method.
Generalizations can be mis-leading but I'll make one anyway in this specific context. Linear converters are horribly inefficient when there's a large difference between the input voltage and output voltage. Converting from, say, 18V command voltage or 14V accessory voltage down to 4.5V is a large difference. For every Watt of 4.5V power going to the building lights, you will throw away or "waste", say, 3 Watts of power in the form of heat. OTOH, a typical switch-mode converter will "waste" only 1/4 Watt for that same 1 Watt of power going to the building lights. It's quite dramatic and hence I call it a "problem."
OK. So it's fair to ask why would anyone even think of using a "linear" circuit in 2020 for this specific O-gauge use/context. That's what I'm thinking! The LM317 was introduced in 1976...almost 50 years ago! That's an incredible run as IC chips go...and it's still going strong. In fact, GRJ uses the LM317 in his popular LED lighting module. Again, context is everything.
I see the eyes starting to glaze over but allow me to tell one more "story" ... again in this specific use/context. If there is any interest in the technical nitty-gritty or how/why of linear vs. switch-mode circuits I refer you to Wikipedia or just do a web search.
But specific to the topic of Menards OGR building lighting...and this is just my version of history. When Menards introduced lighted buildings you would choose your building and buy a DC adapter to power the building. Buy a building, buy an adapter. Buy another building, buy another adapter. Lather, rinse, repeat.
The original (discontinued and no longer sold) Menards adapter were "unregulated" DC-output adapters. They were regulated in the sense that if you paired the recommended adapter with a particular building then the DC-output adapter would indeed provide about 4.5V DC and all was well.
But who wants to buy 6 wall-wart adapters to power 6 buildings? And with those fat wall-warts you typically could only plug 3 adapters on a standard 6-outlet power strip! "Say it ain't so, Joe!"
So as I see it, what happened was guys tried to use one "bigger" adapter to power 2 or 3 or more buildings. This really upset the apple-cart as it was a roll of the dice as to whether some combination of buildings would properly mate with a particular adapter so that the desired 4.5V was the final output. In other words, it was a poor method of voltage regulation - depending on the end-user to properly pair adapter to building(s). But this was resolved and now the Menards adapters are essentially inter-changeable and Menards now publishes the power requirements of their buildings so you can choose a suitable DC-output adapter for your particular combination of building(s).