I guess the problem is that if you create a shared-library, yes, you can call it from Python, but you are now restricted to C datatypes, and don't get any of the type-conversion or type-proxying that the other bridges provide --- as far as I can see.
That said, I think the bridges are actually pretty developed compared to what exists between many pairs of high-level languages. They are clearly working for some people since you will find Python-wrapper packages for Julia code. I'm not so sure it's so important to have a single `.so` package. There are solutions which allow Python to be-in-charge and bundle Julia to various extents. There are at least:
1. https://github.com/jlapeyre/julia_project
2. Usage of Conda and https://github.com/JuliaPy/pyjuliapkg