A post by Sonia Simone on Copyblogger does a pretty good job of describing some of those reasons:
The Most Dangerous Threat to Your Online Marketing Efforts | Copyblogger
The biggest point is one used in offline marketing ... why build up a site belonging to someone else over which you have no control.
A close secondary reason are privacy concerns.
I would rather be on the trailing edge of marketing and use something proven to work safely than the bleeding edge.