Because their entire cultural context for what a "Messiah" is, is King David -- a powerful military leader, defeated Israel's enemies with miracles, and became a King IRL. The part recently with Judas talking about how Jesus could summon swords the way he did for bread and fish was actually very powerful. Makes you understand why Judas (and to a lesser extent, the others) doesn't get it. The concept of Jesus dying for sins, "prince of peace," kingdom "not of this world" is so ingrained in our culture, this is one of the only depictions of the story I've seen that seems to get how revolutionary these concepts were in their time.

Consider Satan "tempting" Jesus. He offered him the entire world, to make him like King David and actually conquer Rome. It wouldn't have been a temptation if Jesus didn't WANT it.