The Ancient Greeks started it! They (men) shaved their entire bodies as athletes and applied glistening oils upon themselves. Pure vanity.
I succumbed to peer pressure when I was racing at Junior level. That's how I started and, I suspect, many.
I stopped shaving in my early 30's and only started again a few years ago. Why? It feels better when I'm cycling.
That's my main reason: it just literally feels nicer.
As far as the Science goes, Chester Kyle (I met him after he gave a lecture on aerodynamics in the 1990's) did a paper that demonstrated a saving of 5s over an hour at 37kph. So depending upon the level of Neanderthal you are, there may be a TT saving there. Inconclusive though, really, everyone is different, contours of legs etc so it's still highly debatable.
The cleaning and treating of wounds is easier but do we crash that often? The last accident I was involved in didn't leave any grazes, my thick Winter lycra saved me from that completely.
Massage? Yes, I prefer shaved for massages - and applying oil / suntan lotion etc. That's a personal preference.
Ultimately though, it just comes back to my legs feeling nicer. Hair is supposed to wick sweat away but it feels the opposite to me, my legs feel less warm on hot Summer days and warmer in Winter once a warming oil is applied and rubbing that in feels better shaved.
I'll stay with shaving for the time being.