For one, Auto focusing with the Live View on is, to be polite, mmm... lame at best, (Most DSLR cameras use a different AF method than compact camera do) and manual focusing with a LCD is not the easiest IMO, also holding a substantially bigger and heavier camera and housing at arm length with somewhat slow shutter speed is asking for blurry shots, but on a more personal level, I feel that looking through a real optical viewfinder make me concentrate more on the composition, what you see is the definitive image, no surrounding distraction, manual focusing is also much easier with a true view finder.
When they introduced Live View on DSLR, many of us, at first, thought that this would be the ticket, but as it turned out, the majority of us have stuck with the optical Viewfinder, it still a nice feature to have on a camera, and it is an essential one for shooting video, alas, it is not THE feature that we thought it could be.
For the benefit of explaining to the OP, I think there's two reasons for that - one is focusing speed/quality, and the other is 'ergonomics' or user interaction with the camera.
On the first subject, compacts use contrast-detect AF as you know, and can do it pretty quickly because they've got small, integrated lenses that typically don't have much throw and typically have smaller apertures (higher f-numbers) so they've got bigger focal depth ranges to begin with. DSLR's can't (in general, see caveats below) do CDAF as fast. Plus, CDAF as a technique is just analyzing 'sharpness' accross a portion of a scene, and only tells you when you're "in" focus and (through continuous sensor data analysis as the focus motor is moving) whether moving a lens is increasing or decreasing that local contrast. For the most part it isn't predictive. Phase-detect AF used by most DLSR's almost immediately measures not just whether or not a particular point is in focus but by how far, so it can immediately instruct a lens jump to here, and then fine-tune with a quick subsequent measurement and instruction. But the PDAF module is located in the viewfinder tunnel, fed by the mirror, which flips up and out of the way to let the light hit the sensor during actual exposure.
Most cameras using "live view" these days just flip that mirror out of the way, and let the sensor see the light, which means the PDAF module gets zilch. They then switch to CDAF as the autofocus mechanism (analyzing the sensor data), and given that the lenses are larger and more varied, the CDAF isn't in general as 'fast' as it can be on compact. Your history is a little unique though: the Olympus E330 was the first DLSR with live-view and also one of the few that did it different: the rear screen LV in that camera isn't provided by the main sensor but by an auxilliary display sensor that received light split off of the optical VF path, while the PDAF module was still active (the mirror was still down). Only when taking a shot did the mirror move. So the E330 had 'live view' and PDAF. Later Olympus DSLR's elminated this (too expensive and costs too much light in the optical VF to satisfy "serious" photographers, I guess)* and went back to CDAF and main sensor-provided live view. Sony's DSLR's sort of adopted something similar to the original E330 technique for a little while but with an optional secondary mirror tilt that would let the light bouncing from the mirror feed either a secondary sensor (for live view) or the optical viewfinder, but not both at the same time. I believe in either case though the PDAF module still got light. And of course the newer Sony SLT's are full-time "live view" since the transluscent mirror approach always allows both main sensor illumination and PDAF module illumination.
Since then mirrorless has come out, and a lot of advances especially from Panasonic and Olympus on CDAF speed such that it nearly rivals PDAF (even beats poorly-done PDAF in many cases). If you switch from your present E330, but still choose to shoot using the rear screen, keep in mind that means you're losing that semi-unique "live view" implementation and going to CDAF autofocus (mirrorless, or most DSLR's in "live view" mode), with the Sony exception.
On the second topic - focusing on the rear screen (with your eyes I mean) is difficult as it means you're dealing with ambient light and reflections masking your view, plus having to 'accomodate' focusing on something close to you. This gets harder on the eyes as you get older. And, it's hard to judge even if you can see the rear screen well whether critical fine focus is being displayed - the LCDs have lower pixel resolution than the sensor does. Most DLSR shooters prefer to use the actual camera's viewfinder (even without an external VF attachment) because when you look at the sceen in the viewfinder your eyes are 'focusing' on the scene as if you were looking at it normally, at distance, so the 'accomodation' issue for those of us who now need bifocals is gone. As you lift your eye from the viewfinder to look at the real scene, you're not having to shift your focus from near to far and back, it's far easier on the bioprocessed optics. And, although it can be a bit awkward to squash your mask up against the housing, the view through the VF is a lot clearer (ambient light is blocked) and easier to judge the actual optics of the camera's current focal plane with. So if you do go DSLR, for the most part, you might want to assume that will also mean you'll be better off switching your shooting style to using that viewfinder like you would most of the time out of the housing.
Hope this helps - sorry to be longwinded.
[*Footnote: I had my E330 as my first DSLR in part because I was sold on the idea of 'live view' as a way to keep PDAF underwater and yet use the rear screen to shoot; it was my first foray away from compact cameras in general, much less underwater. I didn't like the idea of smooshing my face against the camera and ignoring surroundings (less experienced diver, plus I didn't yet need the bifocals). As a result when I later upgraded to an E30 and lost this feature - I found I just stopped using live view above water, and never bothered to house the E30. Frankly, it kind of soured me on Olympus although in many other ways I still loved the E30, and loved the Zuiko lenses. They just killed off what I thought of as groundbreaking, industry-unique liveview.
I muddled around a while before realizing the Sony's were doing more what I'd personally 'liked' with their SLT's and switched to that, and I'm back to using liveview above water for all sorts of wacky viewpoints (articulating LCD plus liveview with good fast focus performance lets you do all sorts of framing you can't do with your eye against the viewfinder). But even though I've gone to this Sony a55 underwater...my time with the E30 taught me a lot more use of the actual optical VF, I've become a more comfortable diver re: task loading my buddy and gauge and surroundings-awareness with camera attention, and my eye changes over the years have resulted in me using the viewfinder underwater vs. the rear screen.
I've come full-circle in the sense of having the chance at pretty good AF performance capability with the rear screen, but still preferring to use the VF tunnel to help me actually judge the focus and perform the framing. Seems like a contradiction, eh? ]