Because this would not be the most failsafe and easy way.
I’m not keeping you from copying the messages database directly, please go right ahead.
You will have to find out how to do this. It’s possible, but you as a normal user on the phone might not have access easily. Find advice in the internet that’s not outdated.
A specialised, still maintained App knows how to do this.
Why could advice in the internet be outdated? Because things in Android can change over time or be slightly different across devices.
Does the given method still work this way? Will the target device accept the source database without a fuss? Who knows.
A specialised, still maintained App most probably will account for this.