The cost of communicating information through space is dealt with in fundamentally different ways here. On the CPU it is addressed directly. The actual latency is minimized as much as possible, usually by predicting the future in various ways and keeping the spatial extent of each device (core complex) as small as possible. The GPU hides latency with massive parallelism. That's why we can put them across relatively slow networks and still see excellent performance.
Latency hiding cannot deal well in workloads that are branchy and serialized because you can only have one logical thread throughout. The CPU dominates this area because it doesn't cheat. It directly targets the objective. Making efficient, accurate control flow decisions tends to be more valuable than being able to process data in large volumes. It just happens that there are a few exceptions to this rule that are incredibly popular.