Because they don't have anywhere else to put them.
The penguin exhibit is based around a wrecked cargo ship - the idea being that the penguins were being transported to a zoo in North America and the ship crashed, leaving the penguins there! Not sure if this is made explicit at the actual exhibit however.
Realistically, with the polar bears and pinnipeds there, it makes sense to have the penguins there as well from a water-treatment angle if nothing else.
Because they built a new saltwater-filtering system. So all marine animals in the park had to be in this complex. They built the penguin exhibit on a ship, so the story goes like:
In a storm the ship stranded at yukon bay and had penguins in it's cargo. Because the captain was now unemployed he made out of it a penguinzoo.
edit:
Maguari was faster
The story is written in the guidebook and there are many references around the exhibit.