Why do Marxists advocate that a socialist state should have both legislative and and executive power?

Marxists do not advocate a socialist state. They advocate a communist state, which is quite different. Socialism is democratic by definition and may include a state with some or even many capitalist elements. Communism is always a dictatorship, though in theory, the state is supposed to naturally wither away after having achieved the paradise for workers or proletariat.
Both communists and anti-communists often label communism as socialism for propaganda reasons. Communists hope to gain some of the prestige of socialism, while anti-communists may be trying to smear socialism as being no different from communism.
Communists aim to have all power—executive, legislative, and otherwise—in the state, arguing that to do otherwise simply gives capitalists space in which to oppose and destroy the goals of their revolution. From a communist point of view, all states are dictatorships. Nominal democracy is actually a capitalist or bourgeois (middle class) dictatorship, while communism is a workers' dictatorship, or one on behalf of them.
There are some who call themselves Marxists who are not communists or even socialists. Some Marxists are scholars in the social sciences who use Marx's analysis of capitalism while being opposed to any form of communism, communist, or socialist solutions.