Pings are a mechanism for a fast update. For example if you are using a external feed service you want it to update as fast as possible when new post is up. Search engines do not care about it in this way. Pinging search engine won’t typically mean it will bother to index page immediately (if at all).
Site maps are a mechanism for methodical update. They will contain more data about your site structure (like archives) and how often it changes. Search engine won’t treat sitemap updates as a reason to index something immediately either, but they will “keep them in mind”. Some search engines provide tools (like Google’s webmaster tools) that will accept explicit sitemap submission and gie you a rough report on how it is being used.
In a nutshell it’s convenient (theoretically) that WordPress does pings out of the box, but it isn’t replacement for sitemaps and implementation of them are accordingly popular.