Pretty much all of Eorzea is at peace at the moment so the usefulness of the Grand Companies is debatable, and also I'm not sure if they think any higher rank would be appropriate for the WoL, who is supposed to be a daring adventurer. If I become Supreme Commander, then doesn't that mean I have to sit at a desk and do paperwork to manage all of the people under my command? I don't think the Grand Companies themselves would want their leader they are dependent on to be someone who constantly puts themselves at the brink of death and travels to other worlds/end of the universe.