Because they are leakers. They slow the flow of the water down and give it more opportunity to find a way in. The also are very rarely flashed properly.
In addition to that, dormers can be very pricey to fix. You have to disturb roofing, siding, windows, and framing almost any time that you make a repair to a dormer - all of which costs money.
So why have a dormer? They are pleasing to look at and they add much needed space to your home. So while problematic, they do serve an important feature.