Madara wanted to become the host of the Ten-Tails so he could fulfill his plan. He could not do that unless he was fully resurrected. The wiki says:
While under the Impure World Reincarnation, Madara was unable to use the full extent of his Rinnegan's abilities. After being revived and obtaining one of his actual eyes, he could summon and control the Demonic Statue of the Outer Path, seal the Ten-Tails inside himself, and generate a corporeal invisible shadow to aid him in battle. While Madara was in Sage Mode and further boosted by Kurama's chakra, this shadow was powerful enough to knock down the tailed beasts. With access to both of his Rinnegan, Madara could produce at least four shadows to aid him.
Additionally, Edo Tensei may be convenient in terms of being immortal, but I suspect it doesn't feel great, since it is an incomplete resurrection. Edo Tensei resurrections don't seem to feel pain (at the very least, they don't react very much when their bodies are blown apart), so it stands to reason that they don't feel most other sensations; in other words, it doesn't really feel like living. Though evidently so long as they're not being suppressed by the jutsu caster, they can feel emotions. I'll note they still seem muted in many cases, as the dead seem quite depressed to be back, as in the case of Haku and Zabuza, though there are exceptions, such as the animate Deidara.