If there are no external influences on the hydrogem atom (it's just sitting there) the "preferred direction" in spherical coordinates (the z-axis) is physically arbitrary. It could be up, to the east, to the south, etc. Any actual physical results of experiments that you calculate will be spherically symmetric.
However, when we apply a magnetic field, for example, that creates a physically preferred direction, which breaks the spherical symmetry. Then it is natural to align the z-direction along the magnetic field.
Notice the solutions of the SE with same n and l, but with different m, are not spherically symmetric. Without a magnetic field, they all have the same exact energy. With a magnetic field, they have different energies, and those energies are exact only if the z-axis is along the magnetic field direction.