Ever hear the saying, "Penny wise and pound* foolish"? That can apply to chains, freewheels or cassettes. Put a new chain on a badly worn cassette or freewheels and if it works (highly unlikely) you'll get rapid wear on the chain and cogs and will end up having to replace them a lot sooner. Or the chain can skip at an inopportune time and cause an accident. Yes, you save a bit by not replacing the cassette/freewheel when you replace a badly worn chain but at the least you'll probably have to make another trip to the shop for the cassette/freewheel when the new chain skips badly.

Cheers

*pounds = an English form of money.