Why are oxidizing agents found in fireworks?
The oxidation agents cause the fire in fireworks. Fire is just another name for rapid oxidation.
Many of the colors result from the chemical reaction between the oxidizing agent and compounds in the fireworks. Copper compounds when oxidized produce a green color. Strontium an orange red that is intense.
The explosion and bright lights come from the energy that is released by the exothermic reactions . This exothermic reactions are dependent on the oxidizing agents.
It must be added to a firework because there is insufficient oxygen accessible to the flammable materials to create a detonation.
The difference between combustion (burning) and a detonation (explosion) is the rate of the oxidation and the resultant generation of heat and pressure shock waves. The conditions of the type of combustible material, the availability of an oxidizer, and the pressure of the surroundings all contribute to the type of effect achieved.
Normal air does not contain enough oxygen, nor is it readily accessible to the flammable materials packed into a firework (or a firearm cartridge) to support the rapid oxidation required for an explosion. This is why firearm cartridges and fireworks actually contain more oxidizing chemicals (often potassium nitrate) than flammable materials in their formulations!