I suspect it's the amount of data that makes it hard.
Block lists, subscriptions and such is easy because it's small and all in one place.
My comments are spread over a dozen instances, voted on by similar numbers, and responded to from a similar number (when discussion is popping anyway). This account is something like four years old? Three?
I've got thousands of comments, maybe a hundred posts. Whatever solution to move that is going to have to take every single one, and somehow strip out where it was originally done from to the new instance. It's going to have to do that and then trigger all of those changes you federate again. So every instance that a comment was on gets hit by that api call, multiple times.
So they'd have to build in a way to not overwhelm an instance with any given user's request for the change, as well as limiting how many requests for change can be active at once.
I'm sure it's possible, but damn does that look like a lot of work for developers and a lot of extra hassle for instance owners/maintainers.
Now, what I would like to see is the ability to back up comments and posts. It isn't really that useful to be able to transfer things, but having to manually copy/paste anything you want to preserve if an instance is filling to shutter is a pain in the ass. I don't write anything that useful on this account, but some people do, and are even more active than me. I can't imagine even trying to scroll back through a single year of comments to find something.