Theres a thing called anima

[Quanta]

He can already teleport EVERYwhere. He never HAS to wait for transportation.

Anima is a limited resource, and once you're out of it, your only solution at the moment is to go around on foot. It's one of the reasons that Ul'dah is the centre of the universe: few people, at least in my opinion, want to waste anima or go on a 30-minute run just to get additional leves or check the markets; they'd rather gather in one place and save their resources for other things.