They like the feel of proper paper. The less lazy actually physically write. The actually lazy cast a spell to make the pen write for them and they dictate the words. (The Queen and L'Evallier tend to use a spell for this once they have had enough of physical writing for the day. They've usually cast this spell by 10 am by which time they have already gone through a mountain of mail).
The higher the rank the magical being the more likely it is they will write regularly. Sprites, right at the bottom of the scale, tend to scribble odd notes to one another now and again (usually to organize when the next fight will take place).
The Queen enjoys writing replies to the letters she receives from her subjects. She never sees the odd abusive one (usually written by a disgruntled witch or a drunken sprite in a fit of bravado) as her staff in the Palace mail room make sure of that. She replies to as many as possible personally and others she dictates to her chief lady in waiting.
L'Evallier is good on replying to queries from his own constituents and species. Any letters he receives from, say, a dwarf he passes on to the Chief Dwarf (usually because the letter is very rude and he knows his colleague will deal with this appropriately. While there generally is harmony in the magical realm, there is still latent racism between certain species. It is accepted this will never be got rid of altogether but it can be disapproved of in no uncertain terms and this is done).
Letter writing then is considered a noble tradition and is unlikely to end here.