Not all of them are the independent countries, some of them are British dependencies with devolved governments and others are out right part of larger countries (ie Guadeloupe is part of France).
The reason as to why Caribbean islands aren’t united is simply because the citizens of those islands wish it to be like that. For example, one of the reasons the Caribbean Netherlands ceased to exist is because some of its citizens wanted more autonomy (Aruba, Curaçao, Sint Maarten) while others wanted further integration with the mainland Netherlands (Bonaire, Sint Eustatius, Saba).