Why are consumers located near high-voltage lines typically not connected to those lines but instead are connected through a lower high-voltage line?
HV (66kV - 500kV) is... difficult to deal with.

I will rattle off reasons I can think of from the top of my head.

All figures that follow (weights, dollars) are order-of-magnitude guesstimates.

Clearances

Let's use 220kV as an example. The Australian HV substation standard AS 2067 nominates the following clearances required for 220kV equipment:


Phase to earth - 2100mm. That is, no 220kV conductor may be within 2 metres of any earthed conductor (say, a transformer tank, or a steel pole.) Edit: Actually, I should have quoted the Non Flashover Distance (N) here.
Phase to phase clearance - 2,415mm. That is, the 220kV aerial conductors must be at least 2.4m apart at all times.
Horizontal safety clearance - 4,125mm. All live parts must be at least 4,125mm above any surface a person can stand on.
Vertical safety clearance - 3,565 mm.


Which is to say there is no such thing as a 'compact' 220kV substation. (Well, there is; substations based on gas-insulated switchgear can be very compact, but you don't want to know how much they cost.)

The minimum size for a 220kV substation, containing the required equipment and maintaining all these clearances, is at least a 20m × 20m square, i.e. the size of a suburban block of land.

It would also have to have structures at least 4 metres high, which is hard to blend into the suburban landscape.

In addition to the above clearances required to prevent people getting directly electrocuted, you also have to contend with -


Fire safety radius in case a transformer drops 10,000 litres of insulating oil and catches fire. From memory, at least 10 metres.
Radius in case of electrical explosion. Typical threshold radius for receiving 'survivable' second-degree burns can exceed 10 metres for some energetic kinds of faults. Definitely no civilian housing allowed inside this radius.


Protection

A fault on the 220kV network must be cleared rapidly, or it will drive the whole grid into an unstable state (i.e. blackout.) The 'critical fault clearing time' to avoid a blackout is usually much less than 1 second.

Very expensive protection schemes (line differential with optic fibre pilots, distance protection) are used to ensure this high speed of protection. These protection schemes must be installed at every terminal of the 220kV line.

Once we account for the cost of -


220kV circuit breakers - about $200,000 each, minimum three required per substation - two for the incoming/outgoing circuit continuing past the substation, and one for the T-off = $600,000
two sets of three-phase protection current transformers rated 220kV, and "enough" continuous amps - about $50,000 a set (ballpark) = $100,000
two sets of protection relays - each with a redundant duplicate - about $20,000 each = $80,000. (Note: duplicate "X" and "Y" protection is standard for HV substations.)


... we are up to about $780,000, just in protection equipment, per substation. And we haven't even started buying transmission line termination hardware, surge diverters, busbar, support structures, earthworks, fencing, concrete, control PLC's, control hut...

(Compare 22kV distribution transformer protection, which is usually just a set of three-phase expulsion dropout fuses, total cost maybe $2,000.)

Transformers

220kV transformers are large, by dint of all the insulation required inside them to prevent flashover. There is no such thing as a "small" 220kV transformer - the smallest one I have seen is rated 60 MVA and weighs about 10 tons.

Contrast typical pole-top transformers 22/0.415kV which are rated 500kVA or less. The weight is important because there is a maximum limit to what you can have on top of a wooden pole. I am no structural engineer, but you certainly wouldn't want to pole-mount anything more than a ton.



Is that enough reasons?