[Me1000]

It's a good question, and I don't have a great answer for you other than my understanding is that the ground space they have to work with in Boca Chica is not really that large. And there are a lot of environmental concerns (+ the chances of blowing up on landing is greater than blowing up on liftoff).

But I've heard speculation that they might build a dedicate landing tower around their Florida launch site for that reason. No idea how accurate that is though.

[eco]

It's about weight. The landing legs on the Falcon 9 first stage make up 10% of the dry weight if I remember correctly. 10% is huge savings for a booster. They've already proven they can do pinpoint landings so moving the hardware to the ground makes a lot of sense. Also, the booster should be easier to control because it can hover (the Falcon 9 booster has to do a suicide burn because its near empty thrust to weight ratio is > 1 even with only one engine). They wouldn't want to hover because it's a big waste of fuel to rely on that but it is an option while they are still practicing the catch maneuver.

They are building a tower at the Cape (it's fully erected already) but people have noticed the arms on it are shorter leading some to speculate that it might not be used for catching.