Firstly, transporting 'troops' is a problem as mentioned previously, unless something wide open like Gate or a portal is used, it takes a lot of time from creatures high in the hierarchy to cross planar boundaries, and with a limited number of creatures at a time to boot, scattering them across the world.
Secondly, due to the way the evil planar power structures work, you are removing key middle and upper tier people from their seats of power, while leaving a relatively large number of mooks behind without resorting to Gates or portals. In either case, your seat of power is weakened by pulling significant forces out, and your enemies on your own plane would take advantage.
Thirdly, favorable grounds. While you have the home ground advantage in your native plane, and even enjoy some degree of extended held territory in the Blood War, invading across planes necessarily means you're doing without thousands of years of preparation and fortification, invading against potentially prepared strong points. Defeat is a sign of weakness, so you'd rather only invade when you are certain it'd work.
Fourth, organization. The evil factions are rife with dissension, so rousing up forces beyond those under your personal command is difficult. You need people to hold territory and crush spirits.
Fifth, significance. On the grand scheme of things theres just not enough value in a given mortal realm compared to all the other worlds out there. It has to become significant to be worth the temporary weakening of your forces where its critical.
Sixth, opposition. Due to the lack of home ground advantage, you might actually meet your opposite numbers in a fair fight. Screw that!