Several reasons, but it mainly boils down to control and history.
I run my own services for email, web publishing, calendar, identity, remote storage, etc. So Icloud already would have to be better-enough than mine to make me want to change. When they do accomplish that, it is mainly by making it difficult or impossible to use mine.
I have a lot of history built up in my services that I'd have to agree to trash or somehow move. That history is important to me - I have a quarter-century of personal mail, and about 15 years of photography, as just a couple examples. Considering the average lifespan of Apple's various attempts at services over the years, this one is super easy - my "cloud" has already outlived nearly all of their offerings. Apple was hawking eWorld when I started running my mail server.
More generally, I trust myself more than I trust Apple to get this right. I understand why you trust Apple more than me, but that's an entirely different proposition. This isn't hubris, it's categorization - we operate at wildly different scales for wildly different-sized customer bases pursuing very different goals.
Finally, integration. Apple is going in the direction of integrated-everything. I'm pulling in the other direction - at this point most of my computing infra is not Apple, and I've already decided I'm not getting another Mac as my everyday laptop. I'll decide what that means about the phone next time I need to replace it, but it probably means we're headed for a divorce. Luckily, I've never put my data in a position to make that a harder choice than it should be.
So there you go.