One obvious reason is that no one cares what the exercise bike weighs and it will never be exposed to dirt or rain. That allows you to make a drivetrain that can trivially last past the useful life of the equipment without any maintenance ever. Meanwhile on the road bike you strapped to the trainer you have a chain, cassette and chainrings for no good reason - all of it ends up feeding into a variable resistance unit anyway!
Similarly putting a road bike you have used extensively on the trainer back on the street generally means doing a complete overhaul - you sweat salt water all over it and don't want your alloy handlebars to break in half because it corroded underneath the bar tape.
Ceterum censeo: we should focus on fixing the reasons that many people, particularly women, feel unsafe riding a real bike outside that they would rather stare at this screen going nowhere inside. Most of them without the mandatory two box fans blasting a hurricane their way, it makes me die inside just seeing that.