Mostly because I wanted to try playing them and I'm not crazy about Religious Victory... also have heard that Diplomatic Victory can be frustrating
In fact, one of the reasons I've delayed really playing them has been because I've struggled trying to identify a good victory strategy for them
They don't really have a good victory:
Domination: bad because of bad early game means slower conquest (not to mention wars=fewer trade routes=less gold). And early on you won't have enough gold to rush anyone.
Science: bad because slower early game means it takes longer to tech, also less prod from mines, also you can't get wonders with gold (securing Ruhr valley is easier with pretty much any other civ).
Religion: the religious early game is slower. Mali's early game is slower. Combining those two has to make deity survival very unlikely (though I guess if you somehow survive then you shuld be ok in late game, I never actually tried this tbh).
Culture: no specific bonus. And as mentioned before, harder to secure wonders with less production.
Diplomatic: harder to secure statue of liberty, plus you can win the helping others competitions easily with any civ, you don't need Mali's gold.
In theory it is fun to try Mali for a different playing style, but in practice the slower early game makes them extremely weak. The first 100 turns are always very important, and they will always be slower with Mali. Your first slinger, builder, settler... will all be slower, there's no way around this.