This is due to different design goals.

Bluesky's architecture was pretty much dictated by the premise that anyone needs to be able to see any post on the entire system, regardless of whether they have any connections with the author. That algorithmic entertainment-style feeds need to exist. You do need that firehose and other expensive infrastructure for that, there's no going around it.

The fediverse, on the other hand, entirely relies on people following each other. Each server only receives and stores data that is relevant to its users. ActivityPub works like an automated email list management system. You follow someone, they start sending you their updates and forwarding any updates from others that they consider relevant, like replies to their posts.