Going in a small sailboat through doldrums, then against south passats, all the way to Canaries will take about two or three months of non-stop sailing. You will still need to enter ports to get food and fuel, and deal with african border and port authorities. The whole feat would be an equivalent of 5-10 Suez Canal transitions in terms of haggling and bribery, 10-20 in money and 30-50 times longer.
See, the problem is it's cheaper to pay all the bribes. Morality is good and commendable but in the end money speaks, at least in the shipping industry. The trip around it is way, way more expensive, both in time and fuel.