Obviously, it is because the wonderful energy weapons that are used so frequently can be easily re-wired to malfunction, or have the batteries drained or what have you. A crossbow has no such setback. In addition, it's a projectile weapon that does not have to be thrown, unlike a spear, and has no clumsy mechanisms that can get in the way or have an unpleasant effect on the user, such as the recoil in a handgun or the bulkiness of a catapult.
Plus, crossbows are awesome weapons and require almost no skill to use, especially if one has installed a targeting mechanism. And Hordak, for all his power and posturing, is very good at inspiring fear in others, but just isn't good with weapons. Isn't that painfully obvious?