Earlier quoted context omitted.
Speed and reliability. A connector of any kind reduces signal quality. Data lines need to be longer, because the memory slot won't fit under the radiator where the memory chips are now, and that adds even more electrical interference and degrades signal. Also, we had memory slots on '90s cards. They were extremely expensive and proprietary. Ever saw a Matrox VRAM card? I never did.
I am hoping that we seriously evolve the ATX standard to allow for a socketed GPU board that can also enable user replaceable memory. Seeing an enormous GPU that is larger than the motherboard itself hanging from a PCI slot feels like horse and buggy shit. I'm imaging two boards back-to-back connected by a central high bandwidth bus (which could also do power delivery) that would allow one side of the case to be for…
PCI is (was) allowed to be even longer. Old AT and ATX cases had a slotted support bracket to hold the far end of the PCI cards. See how an Adaptec 2400A looks like.