First of all, it's just fun. This one isn't necessarily sexual for me. I never really outgrew playing in the mud. I think people take sex way too seriously, and adding a messy element can lighten up the mood. You can't take yourself too seriously when you're playing with body paints or just took a pie to the face. I also have a really hard time orgasming without toys or a borderline excessive amount of foreplay, so I kinda use WAM as an activity to fill that time. Probably a good part of why I don't like when sex is taken too seriously too. But again this one isn't strictly sexual for me. It's less the mess and more fooling around with a person I'm attracted to. If I got turned on every time I was messy, I'd be in trouble. It seems like most of my hobbies (rugby, hiking, surfing, swimming) end up getting me wet or muddy to some extent, so it's definitely something I've come to associate with fun.
When it is definitely sexual is when it's used as part of a punishment, though I think this one can be more "creative bdsm" than strictly WAM. Getting tied up is much hotter when I'm also covered in gunk after. Feeds well into RP too. Certain substances can be used to add new sensations to the pain aspect, but here's not the place for that.
As has been mentioned upthread, contrast for me. I love a very attractive, smartly dressed girl, who has obviously gone to some trouble over her hair, make up, clothes etc, getting absolutely trashed.