You're right that having a common transition altitude is better- efforts are underway in Europe to set a common transition altitude. Multiple studies have been carried out by Eurocontrol and it has been noted that it is better to have a single transition altitude. For example, from an aircrew prespective:
The multiplicity of transition altitudes and the national rules and procedures make the European environment very complex. This can lead to a lack of altitude awareness and altimeter mis-settings and is operationally unsatisfactory.
Establishment of a common transition altitude has a clear safety benefit.
Similarly, from the ATC perspective:
The establishment of a common TA for ECAC States and the EUR Region is a fundamental element in achieving the goal of a unified sky and the safety policy of reducing risks to the greatest degree practicable.
The reason such an unsatisfactory state of affairs have persisted is that people have become used to that- the second document makes that point:
ATC providers, as is human nature, grow comfortable with what they are most familiar.
The main reason is that there is no requirement for any common transition altitude. The relevant ICAO document simply states:
126.96.36.199 A transition altitude shall normally be specified for each aerodrome by the State in which the aerodrome is located
188.8.131.52 As far as possible, a common transition altitude should be established: ...
As a common transition altitude is not exactly a requirement (in-spite of its advantages) different European states have historically established their own TAs, to be decided by the aerodromes or the regulatory authorities.
As they have become comfortable using it (and no major accidents have happened because of this), there is no serious move towards the establishment of a common transition altitude (through arguably, this is the case with much of the world- common transition altitude is not that common). In the UK, CAA has launched a consultation process to raise the transition altitude to 18,000 ft, which notes that,
... it has been agreed that the TA in the UK will be raised to 18,000ft.