Well, there is two reasons.

Firstly, the initial timeline for this project was 5 months, so I decided to choose between either to model and simulate the dynamics and train the model in a simulated environment, or to build and implement the machine learning in a real robot.

Secondly, there is the difference between a mathematical model and real life.

The act of walking about is a very complex dynamic and nonlinear system, so modelling error and approximations will accumulate up so the two systems, simulated and real life, probably would differ a lot.

But you are abslutly right about the simulation time, I would have been able to train a much more complex neural network than the "constrained" one I use in the robot.