Security risk.

Somewhat similar to the reason you don't keep all your money in one financial institution. Imagine what would happen if you served/consumed everything with credentials from only one SSO provider and that SSO provider got breached. If your profile were to be attached along with your SSO, your entire identity then becomes at risk.

While I do not like remembering thousands of usernames and passwords, I swallow it as the bitter pill that comes with the necessity of keeping my eggs in different baskets.