When you add a map service to a web map as a whole, the drawing of layers is handled by the server, which returns an image to a client, like the web browser. In this case, you essentially have all of ArcMap's symbolization abilities running on the server to draw features. Thus, complex symbology can be drawn.
When you add an individual layer of a map service directly to a web map (e.g., via a url that ends .../MapServer/0), you now are accessing the geometry of the layer, sending it to the client (browser) and having the client draw the features. A web browser can only handle simple line symbology.
Thanks,
Mike