Because the actual URL is often some metrics or ad-billing service which is supposed to redirect to the target. This is quite common on Google as well as on Facebook.
That opens you up to a URL which redirects you somewhere trustworthy when you check it but redirects later ad-clickers somewhere shady when they check it; mitigating that is harder but approachable.
The problem with checking them is that if you make the check look just like a normal click-through, the advertiser gets billed for a click by their ad broker.
But of course they won't do that.
Also, for example, if they claim to be CNN, it should go to a relevant page, not just cnn.com
Facebook needs to ensure that their setup works in a way that the rest of the business expects. What Facebook seems to lack is the resources and dedication of Google to find the fraudulent ads.