All it takes is one tiny particle of hard grit to be on your screen, and then, when you use the S-Pen, its soft tip grabs that hard, sharp particle, and scrapes it across the screen, leaving a scratch. Unless you live in a cleanroom, the environment is always loaded with small, hard dust from erosion of the earth's crust as well as building materials, road surfaces, etc. Most of this grit is harder than the 5 of gorilla glass. A screen protector is just cheap, replaceable insurance against scratches and perhaps some protection against breakage, too.
At least wipe your screen before using the S-Pen, and if you ever drop the S-Pen, inspect its tip to make sure it hasn't gotten some grit embedded into the soft plastic.
We probably notice all of this more here, where it is usually dry, and often windy. But you really can't get away from fine, hard, gritty dust no matter where you live.
Gorilla glass is quite tough. But it really isn't very hard. At least not in comparison with most mineral "dirt".
This is also why it is so important to never just rub any camera or glasses lens until you brush or rinse off any dust first. Your cleaning cloth might be very soft, but if you use it to scrub the hard dust particles against the lens, it might as well be sandpaper.