If the goal of an orbital launch is to acquire $7.8\text{ km/s}$ of horizontal sideways velocity, why doesn't the rocket just pitch sideways the absolute second it clears the launch tower?
The Earth is surrounded by an incredibly dense soup of nitrogen and oxygen known as the Troposphere. At sea level, this air is thick. If a rocket were to tilt $90^\circ$ sideways at sea level and attempt to accelerate to $7.8\text{ km/s}$, the sheer kinetic force of ripping through that thick aerodynamic soup would instantly shatter the carbon-fiber rocket into a million pieces.
Therefore, rockets MUST spend the first part of their journey flying entirely vertical ($F_y$). This is not to gain orbital energy, but rather to purely escape the dense lower atmosphere as fast as possible so they can execute their horizontal turn safely in the vacuum of space.
Aerodynamic pressure is calculated using the Dynamic Pressure equation, where $\rho$ is the density of the air, and $v$ is the velocity of the rocket.
Because Velocity ($v$) is squared, going twice as fast implies hitting a wall of air four times as hard.
If you watch a SpaceX stream, you will always hear the callout: "Vehicle is passing through Max-Q." Max-Q stands for Maximum Dynamic Pressure.
As the rocket climbs, its velocity ($v$) is rapidly increasing, which causes the aerodynamic pressure against the hull to spike violently. However, as it gets higher, the density of the air ($\rho$) drops off exponentially into nothing.
The air density ($\rho$) is extremely high, but the velocity ($v$) is still very slow. Pressure is manageable.
The worst of both worlds. The rocket is moving at supersonic speeds (Mach 1.5+), but it hasn't escaped the dense lower atmosphere yet. The physical stress on the vehicle hits its absolute maximum limit.
The rocket is screaming at Mach 10, but the air density ($\rho$) has dropped practically to near-zero. Pressure disappears. The rocket can safely turn sideways.
This is why the beginning of the Gravity Turn must remain mostly vertical. It is a mandatory tax paid to Mother Nature to safely escape the wall of air.