Because they would have to maintain their own key pair which could easily be taken by chance, unlike a trusted third party who is in another country's jurisdiction and is unwilling to just hand them over. Not everything is software.
If I have to explain it, it's already a lost cause. If you want any hope of PGP being widespread, or any cryptosystem for that matter, you need to have it being self-explanatory.
Someone at the age of 90 should be able to download the software, click a "yes" button and secure their mail.