It's almost definitely because SE does not want Ul'dah to return to the bad old days of 1.0 as the extremely laggy central meeting place (read: player idling location) for the game - having such content accessed only from there would only lead to even more players idling around the GLA's Guild and the resulting lag and server problems that brings. This is why the PvP battle arena (Wolves' Den) was created as an entirely new location completely separate from the rest of Eorzea.
Don't get me wrong though, I would love to once again fight in the Colosseum, 1.0's GLA class quests actually had you indeed fighting there (albeit instanced), so I was disappointed ARR's GLA class quests did not do that, but I'm also realistic to understand why this probably will not happen I'm sorry.
