There is a reason for this restriction, and that's to keep the economies of the different worlds stable. They don't want people transferring from a server with a high amount of gil in circulation to a server with far less gil in circulation and coming in with a massive advantage over everyone else on that server because they brought 10 million gil with them. Different servers have vastly different economies; this is a measure to help preserve those economies and make it so that a few people transferring can't throw everything out of whack and thus hurt the rest of the population on that server.