As you say, the existence of the empty set seems to be contained in the statement of the axiom of infinity. However, to formally prove the existence of the empty set in this manner, you still need to take a few steps. First, you would need to use the inference rule that allows you to conclude $\exists x(P(x))$ from $\exists x(P(x)\land Q(x))$. In this case, you would deduce that $\exists x\exists y(\forall z(z\not\in y)\land y\in x)$. Then, you would have to do further work to deduce the statement $\exists y(\forall z(z\notin y))$. None of this is particularly difficult, of course, but neither is the approach using separation.
One reason to prefer the argument using separation is that it is more easily generalisable. Suppose, for instance, that you are interested in working in a version of set theory without the axiom of infinity. Perhaps the axioms you have chosen can prove $\exists x(x=x)$, but they can't prove the existence of an inductive set. Then, you can prove the existence of the empty set as follows: let $x$ be such that $x=x$. Assuming that separation is one of your axioms, we can conclude that there is a set $y$ such that for all $z$, $z\in y$ if and only if $z\in x$ and $z\neq z$. Then, we can insantiate $y$, and prove that $y$ satisfies the definition of the empty set.
Ultimately, though, it doesn't matter what path you take to proving the empty set exists; indeed, some authors adopt it as a (redundant) axiom when they are introducing ZFC. There are many, many variations on how the axioms of ZFC are presented, and all we care about in the end is that your set of axioms generates the same theory as my set of axioms.