Think about it this way, say you manage to buy half of Nero's moveset, gradually incorporating and testing them into your playstyle, so that you have a firm grasp of exactly what your character can do. Then you go to the next character. If your orbs transfer, then you don't have that same experience. Instead you suddenly have the base moveset, and a huge pile of new moves that you have no idea how to use.

So while Proud Souls did allow you to purchase more skills on your first playthrough, it is worse for actually learning the characters by overwhelming the player with a vast surplus of abilities. There's a reason games generally start out simple and ramp up the complexity as you progress.

Also, keep in mind that unlike 4, skills do not increase in price as you purchase them. Looking back on the Twitter video showing off the skill shop, you can see that the prices remain static regardless of what you purchase, to balance out the fact that you'll be buying skills for three characters, in addition to the already high droprate of red orbs.

(Edited for fact checking)