The classification is done because rogue planets etc. tell us things about the process of solar system and planetary formation. Yeah nature tends to have a continuum of things, but the classifications are primarily used as place holders so that people know what everyone's talking about.
Since stars form in explosive events, it seems painfully obvious that some of the shit that comes flying out does not stick around, and that it could be planet sized/shaped.
Stars are formed in nebulas of gas and dust via gravitational collapse (accretion).
The remaining gas and dust that is swirling around the star flattens out into a disk (because of angular momentum). Planets gradually form in this disk, again via accretion (snowball effect).
