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.