They do not all have the same side effects. Almost all birth control pills have different levels of hormones. Some don't have hormones at all. They have some birth control pills that are mainly for women who are breast feeding that are small dose.
In fact, there are several lawsuits against YAZ or Yasmine for severe side effects.
It is common practice to at least talk with your doctor about why you want to change birth control pills and what the best option for birth control pills are for you based on why you wish to change, including what side effects are more important for you to avoid.
And this is why women should need to at least get Plan B from behind the counter, because not all women will read the side effects of the drugs and hormone pills can come with some serious side effects for some women.
Plus, what about a woman who is taking Plan B regularly? Sure, this would be stupid of her, but not everyone thinks about these things. A doctor or at least a pharmacist that notices this could easily show the woman that it would probably be better for her to get on a regular birth control pill rather than taking Plan B, and they could certainly describe all the benefits, financial and medical, of switching. I can't imagine that it would good for a woman to take Plan B once a month or more, as far as side effects go, but I could see some women doing this, especially younger women/girls.