No exact reason is ever given. I'd like to think it's because Limsa and Gridania just don't have a facility for something like the victory feast, but as to why Ul'dah is the seat of most 2.x meetings I couldn't say. I guess the Bismarck or Mih Khetto's Ampitheatre would work, but it was intended to be a sort of private event. (Also I'm making waffles if they ever hold such an event at the Bismarck - I'm sure Lynsgath would understand.)
That said, the victory feast was planned by Nanamo as her "abdicating the throne" event, so it makes more sense to hold it in Ul'dah. Makes more sense to do things that way, no?
From a non-story perspective, the Fragrant Chamber is just very easy to use for meetings and other official events. It already exists, so it doesn't require time and effort to put in the game (like a private dining hall in Limsa) and is large enough to accommodate groups of people; Merlwyb's office is rather small, and while the Lotus Stand is spacious it doesn't really have the facilities for something like a party.