Well... It isn't quite the "yadda yadda" experience you are making it out to be, and you may want to take a look at why people DO the light system, rather than why they DON'T.
The keylight idea is interesting, but it presents a few problems:
1) You need to turn each light on individually, chief's suit has like 8 or 10 lights on it, that's sort of obnoxious to do every time.
2) The batteries.. The small keylights get their small size by running off button-cells, which are notoriously expensive. Even on amazon you're looking at ~$2 each, which is 20 bucks to replace the suit's system.
Conversely, a set of 2-4 AA batteries could power a lighting system for a long time, and cost maybe a dollar to replace all 4. (12 bucks for 48 on amazon)
As for why people use the system.. there are some good reason to. It doesn't invalidate other options, but the electronics systems can be very enticing to some.
1) A single on/off, there isn't a home-made switch for every light. You buy a single switch from radio shack or amazon, tie everything to that and it controls the whole thing. They can be any size you need.
2) The batteries.. as I already mentioned, a central power source is more managable, especially if you lose juice mid-convention.
3) Price. The keylights run 2-8$ each, from a cursory glance at the internet, which would be 20-80$ for the suit. The electronics for a system would be: 8-10LEDs, 8-10Resistors, wire, batteries, switch. If you poke at the common internet sources for electronics, you can do that for like 10-15$.
4) Reliability. A decently designed lighting system doesn't really fail that much. the LEDs are solid state, and the wiring if glued down properly, won't be getting torn or anything, so they shouldn't need fixing really. Put a disconnect on the battery pack and you can easily remove it for battery replacement.
5) Learning.. A lot of costuming is also a learning experience. A lot of people like doing the option that also lets them learn new skills.
This isn't to say the keylight idea is bad, it's quite an inventive way to get lighting if you have no desire to learn electronics. I just wanted to answer your question as to the thought process that goes into a lighting system. There are pros and cons to every idea, and it's up to the individual to decide which is right for them.