Maybe sometimes, depending on luck, but the general idea is that bullets should perform as they were designed to rather than in less predictable ways. That would be a good thing, although as you brought up, arguably fragmentation can do just as much damage. Be that as it may, the goal is to achieve a specified amount of penetration with a specified amount of expansion, and keeping the jacket together with the core is critical because either piece alone, in expanded form, is not going to penetrate as deeply as the combined mass would have. Since penetration is regarded by most authorities as more critical than expansion, jacket separation is therefore a bad thing.