It's too difficult and time consuming. Peons, if I remember, was a pretty big legal battle. There are so many gold farming websites out there (and more coming every day) that it would be impossible to stop all of them.

A big issue as well is that most of them have their domain located somewhere where Blizzard may not have any chance of even getting it shut down, like somewhere in China.

Stopping RMT is one of those near impossible things to do. The problem is that the only real good way to stop it is to make it so that no one WANTS to buy gold, but then that would mean that gold would be near worthless to have. It's sadly not a matter of making a game more fun, although that would help (to make farming more enjoyable), because there are always people who will want to take the easy way out.

But Peons was also a Chinese gold site right? And I don't mean to shut down all gold sites, just the big ones. I really hate to drop a name here, but Susan Express has taken over the wow gold market since Peons shut down. Their spam is hated on all the WoW servers. If you just take down the big ones, then the others will stay tiny and obscure, which hopefully works as damage control.