Because it depends on the plugin and how it was coded. :)
Some of it is functionality: some people expect a single WP plugin to magically gather sitewide data from across all member blogs when they really are just blog specific.
Some is technical - plugin in the mu-plugin folder are executed so anything requiring activation will fail.
And some won't save options - not a clear fix for this. We've just wound up writing in a new way to save the info.
Or, it appears to work, but fails to notice the blogs are separate (a sitemaps plugin making one sitemap for the whole site, for instance)
And finally, some are just harder to nail down. the biggest issues I've run into is the not saving options. If the plugin doesn't break outright, and any options just save, then it usually works on MU.
But I'm finding more and more plugins that DO work than ones that don't. Half the time it's more about perception.