They actually have been trying to move the government functions to Sejong City(which is 120km south of Seoul), but the courts stopped it from happening:

http://www.bbc.co.uk/news/world-asia-18670195

I don't follow Korean politics, so I don't know if the motivations were to escape NK artillery or some other reason, but it seems like organizing a massive move is just one of those things democracy is bad at.