>Now, I get it, once you have to deal with taxes and payroll in multiple countries it gets messy, but why wouldn't you consider that a core part of your business worth investing into?

Because it's a complex legal issue that isn't in the competency of most companies, getting it wrong has consequences. Since most companies have similar legal requirements, there's enough scale for a large 3rd party. Also, some countries require the local IRS-alike to approve your software if you wish to file certain tax reports. Bad UX pales compared to these requirements.