Actually, I know why.
1) It can damage your residual hearing.
2) You can make it louder and louder, but when you have a severe lack of hair cells that are responsible for a certain frequency, you simply just can't hear it. Example: A really powerful HA would enable you to hear low frequency sounds better and clearer, but you still can't hear those pesky high frequency sounds.
This is why they resorted to frequency transposition. For those who cannot hear high frequency, the HA would convert high frequency sounds to lower frequency. However, this means you would use the whole spectrum of sounds squished into a more narrow range. This can cause a lot of different things to hear similar, even though they are not.
Hope that explains it.
And the anesthesia risks were included in my "No Risk at all" scenario.
My scenario was to try to see if it was JUST the risk that bothered people. Apparently not. It's more than that for some people.