Because building a new community is a monumental task which requires not only a solidified group, but one equally committed to enduring a very slow grind. Most people feel the effort is either doomed from the start, or would just rather transfer into Balmung, where roleplay is already abundant. You also have to appreciate this is a niche hobby. The vast majority of FFXIV players do not roleplay, and likely have little interest in it. Such is why we don't see roleplay on every server. Short version: while a nice idea, it just isn't feasible.