Because criminal litigation can foreclose other criminal litigation from the same transaction, meaning that splitting up criminal litigation power crestes a significant risk that an agency would accidentally block prosecution of more serious offenses within a different agencies jurisdiction. Centralizing prosecutorial authority prevents that.

Because in general, Americans dislike the idea that a bureaucrat, in addition to the powers they may wield within their own domain of influence, may also subject people to criminal liability at their own discretion.

The concept of limited government demands that certain powers must be separated such that they never come together in the same person. That simple measure ensures that tyranny can arise only through conspiracy, cooperation, and collusion between multiple bad actors, rather than just one person acting alone. Why can't your HOA put you in jail for not mowing your lawn often enough? Because the kind of petty nagging nitpicking bastard that typically volunteers to serve on the HOA enforcement committee makes the absolute worst kind of cop. The power goes right to their heads, and they abuse the heck out of it to further their own goals and agenda.

The question we should be asking is why do the federal criminal investigators and prosecutors seem to pay less attention to financial crimes referred to them by the SEC than they attend to other crimes?

Do you believe that every agency in the government should be able to send people to jail? The SEC can't send people to jail for the same reason the Dept of Housing and Urban Development and the Post Office can't, because they have not been granted that legal authority. The ability to imprison is not granted to most Federal agencies.

Why would the SEC be able to imprison people? That's not their job. They also can't set the prime interest rate or grant radio spectrum rights to AT&T.

You asked "Why can't the SEC send people to jail?", to which the answer is simply that they have not been granted that power -- whilst there is no law specifically restricting it, the SEC cannot act ultra vires its granted power, and doing so without authorisation would come up against false imprisonment, human rights etc.

IF you are asking "Why hasn't the SEC been granted the power to send people to jail?", then that's a deeper philosophical question. There would be a concern that the diffusion of such powers could be abused or wielded by non-judicial-experts who aren't necessarily acting in the interests of justice and broader public policy, and more generally the principle of separation of powers discourages such to prevent tyranny/the abuse of state power.

[disregard this, not enough caffiene today apparently]

Separation of powers. The SEC is part of the executive branch. The judicial branch is responsible for bringing suit.

If you want the why for that why, that's a philosophical discussion that probably won't be well served by a HN comment thread.

Huh? The judicial branch is just judges, not prosecutors.

Bah, got mixed up. The overall point remains the same. They have to be granted that power, not restricted from it.