Simple - your monitor can only display in RGB.
This is why CMYK graphics don't look quite as expected on a computer monitor. Also the screen previews in PM are not as good as those in Photoshop - even when the display is set to high-rez. However, when printed, the CMYK will print just fine, assuming you have remained within the CMYK gamut when converting RGB->CMYK in Photoshop.
One further note - depending on how the PM publication will be printed - commercial offset or a desktop printer - will determine which colour gamut is best. For the former (offset) then CMYK is mandatory. For desktop printer, the colours wil probably look better if left in RGB. This is because the desktop printer 'expects' RGB, and has an internal converter to CMYK. However, if the colours are out of gamut in Photoshop*, you may get some surprises.
*click on a colour in PS with the eyedropper tool and see if the little triangle in the colour palette comes up with an exclamation mark. This indicates it is out of gamut. Adjust the colour sliders unitl the question mark goes away - then your colour will be within the CMYK gamut.