I'm wondering why do we "need" a proof of mathematical induction.
Let's $T$ be our theory and $P$ our property. $\vdash$ means that there is a proof.
Thanks to induction : $\forall n$, ${\rm T} \vdash P(n)$, (so ${\rm T} \vdash P(0)$, ${\rm T} \vdash P(1)$, ${\rm T} \vdash P(2)$, ${\rm T} \vdash P(3)$, ...)
Why can't we imply : ${\rm T} \vdash \forall n, P(n)$ ?
And even if there is a good reason for that, why can it be a problem ?
My previous answer was aimed at the title question; I think the current answer better addresses the actual question.
To begin with, let me talk about induction and induction-like principles outside of the natural numbers.
Let's start by considering $\mathbb{R}$. Both $0$ and "$+1$" make sense in $\mathbb{R}$, so we can formulate the statement of proof by induction:
This however is blatantly false: take $P$ to be"is an integer." Hence the name "$WI$" for "wrong induction."
An arguably more interesting example occurs in the context of ordinals. These are generalizations of the natural numbers "past the finite." If we take $P$ to be "is finite," we again see a failure of induction: $0$ is finite, and $n$ being finite implies that $n+1$ is finite, but there are infinite ordinals. The reason this example is interesting is that there is a version of induction which works for ordinals:
(In fact, clause $(iii)$ is enough on its own.)
Similarly, there is an "induction-like" principle which works in the context of the real numbers (and other situations). One instance of it is:
This uses the completeness property of the reals, and can be used to give a slick proof of the Heine-Borel theorem.
OK, what does this have to do with your question?
Well, the point is that proof by induction relies on some structural properties of the natural numbers; there are contexts (like the reals or the ordinals) where we can state induction, but where induction is false. So from the point of view of axiomatics, we can't take induction for granted. Maybe we explicitly include proof by induction (or rather, a scheme of axioms for proof by induction) as axioms in our theory, but something justifying induction needs to appear explicitly in our axioms: pure logic alone isn't enough to justify induction, since there are contexts where induction doesn't work.