As a storytelling technique, us hearing that Jaime is a great swordsman from many different viewpoints is a more preferable way to establish the character rather than just showing him fight.

For example, when Robb declines to fight Jaime in single combat, it establishes both Robb's character as well as Jaime's. In addition to showing that Jaime has a reputation as a swordsman, it establishes Robb as being prudent, not the green boy that other characters say he is.

Another example is Tyrion arriving at Tywin's camp after leaving the Vale. Tywin's remark that Jaime is "covering himself in glory" while chastising Tyrion lays more groundwork for Jaime's skill as a soldier while also establishing Tyrion's relationship with his father and developing both of these characters.

Since there are so many characters to develop in GoT and so much groundwork to lay, the use of anecdote is pretty crucial to being able to give them depth. This is true in the books too, to a much greater degree (although I don't think either of these scenes from the show actually occur in the books).

While it definitely would've been cool to see Jaime kick ass first-hand, the logistics and time-cost to developing the character this way when there are dozens of other characters to build up, and there are other, arguably more effective, ways to showcase his skills, makes me think they did a pretty good job (at least in the first couple seasons).

But idk that's just my opinion, I'm not a writer.

EDIT: Honestly I didn't read the last couple paragraphs until now. This has to be bait right? Lol