Because pain which isn't enjoyable to the person suffering it is an evil and the great majority of humans don't enjoy pain. There is no point in suffering needlessly. Living things with a nervous system are pretty much hardwired to try to avoid serious pain and injury at any cost so why would one willingly bring it upon oneself?
Death is usually sought to escape pain and misery. I don't really see the point of CTB for people who enjoy pain: isn't the world pretty much a playground to them? It's pretty much filled with misery and woe of all kinds.
I doubt self-harm (unless it's extreme) is in any way, shape or form comparable to what will be experienced with a painful, reliable CTB-method. To my (granted limited) knowledge of the subject self-harm usually means inflicting minor, superfical wounds on one's own body. For CTB such wounds would need to be a lot deeper and more severe. You will not bleed out from wrist-cutting unless the cuts are very deep. It's quite well known as a method with one of the lowest success-rates of them all. Up there with trying to poison yourself with over-the-counter medications.
People may think they know what they want when they claim they want a gory, painful death. My reply is since they don't how it'll actually feel like it's better to err on the side of caution and opt for a non or at least less painful method. Imagine going through with it and then finding out it's unlike anything you've ever experienced or imagined and you simply can't handle it: even if you do die in the end those second and minutes must feel like an eternity in hell.
Plus once you're dead you're dead and there almost certainly won't be any memory of the event so why go through that merely to have it dissapear into oblivion like anything else?
Personally I don't think I have anything to atone for (nothing major anyway) so why should I inflict unnecessary, unjust punishment upon myself?