As others have said, spam and illegal content are the most likely reasons.
We might also compare to email delivery; maybe ideally every message would be delivered, but in the real world, they aren't, and open relays are a hazard.
This is probably good, too. I personally don't want my hand held, but recognize that others justifiably want someone else to filter out gore, or even opinions they find sufficiently off-putting.
I don't want to ram particular content down anyone else's throat, but I'm 100% opposed to anyone making that decision for me.
I'm interested in BlueSky but the relays are a worrying "point of failure" if they can just block me from there. I'll be more interested if there are multiple relays that I can use in parallel, with at least one being friendly to us, so I can still participate. Currently on the Fediverse it mostly works since we can connect directly to other servers, and there's no SPOF. But I would love to use BlueSky due to the better protocol design! Just more relays would be good.
... Wait, can we self host relays? And is it plausible for a community to do that? I couldn't find anything about it.