Really interesting question. Honestly I can not prove why entities are good. But I can share my opinion why I like them. Code like
void exportOrder(Order order, String fileName){...};
is not concerned where order came from - from DB, from web request, from unit test, etc. It makes this method more explicitly declare what exactly it requires, instead of taking DataRow and documenting which columns it expects to have and which types they should be. Same applies if you implement it somehow as stored procedure - you still need to push record id to it, while it not necessary should be present in DB.
Implementation of this method would be done based on Order abstraction, not based on how exactly it is presented in DB. Most of such operations which I implemented really do not depend on how this data is stored. I do understand that some operations require coupling with DB structure for perfomance and scalability purposes, just in my experience there are not too much of them. In my experience very often it is enough to know that Person has .getFirstName() returning String, and .getAddress() returning Address, and address has .getZipCode(), etc - and do not care which tables are involed to store that data.
If you have to deal with such problems as you described, like when additional column breaks report perfomance, then for your tasks DB is a critical part, and you indeed should be as close as possible to it. While entities can provide some convenient abstractions they can hide some important details as well.
Scalability is interesting point here - most of websites which require enormous scalability (like facebook, livejournal, flickr) tend to use DB-ascetic approach, when DB is used as rare as possible and scalability issues are solved by caching, especially by RAM usage. http://highscalability.com/ has some interesting articles on it.