The reason is pretty straightforward: this vehicle has never flown before and a lot can go wrong. There is a lot of ground equipment including propellant tanks very close to the launch tower. If anything goes wrong hundreds of tons of metal + propellant is going to cause a lot of damage, and they'd likely end up having to rebuild a large portion of their launch area. Best to see how the booster behaves first before risking all that infrastructure.
The catching system looks crazy, but it might actually be easier than landing a Superheavy on legs. The ground is a larger target than the catching arms; but its maneuverability and shock-absorption are famously low.
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.
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.
Given how much larger, and how much additional fuel is onboard, it's not surprising that they're following a similar strategy this early in the program.
The Flacon 9 did a fair few simulated landing over water before they tried on land or risked and barge.