Recycling and storage of nitrogen from breakdown of macromolecules?
Short answer: This is because the most common form of nitrogen found in multicellular organisms (not incorporated into any other compound) i.e. ammonia is too toxic to be stored or recycled.

Background: Ammonia, the product of deamination of amino acids, is basic in nature ($NH_3~+~H_2O \rightarrow NH_4OH \rightleftharpoons NH_4^+ + OH^-$) and thus disturbs intracellular pH (Ohmori et al, 1986). Though the mechanisms through which ammonia exerts its toxic effects are not known, hyperammonemia is known to alter several amino acid pathways and neurotransmitter systems, cerebral energy metabolism, nitric oxide synthesis, oxidative stress and signal transduction pathways, leading to irreversible damage to the developing central nervous system: cortical atrophy, ventricular enlargement and demyelination; causing cognitive impairment, seizures and cerebral palsy (Braissant et al, 2013).

Talking about how it is produced (just for information, skip this part if you are aware of urea cycle): Amino acids are deaminated for storage since the carbon skeleton of these amino acids can be easily converted to glucose or fatty acids for storage. This reaction yields ammonia which, in liver, is converted to urea (via urea cycle) which is not only less toxic, but also requires lesser water for excretion. See this page for more information and the diagram below.



Talking about why it is not recycled, there has always been a constant supply of amino acids to organisms (through nitrogen fixation or food). Indeed, amino acids are deaminated for storage i.e. we already have more than enough of it. Also, storing urea is also not easy since it is toxic too (it is just less toxic than ammonia). And since these products are so much harmful, it seems difficult for an organism to evolve itself so that it can store toxins rather than just throwing it away so that it can later be ingested in a useful form (amino acids from plants or herbivores). Finally, evolution works as decent with modification, meaning if something is a better alternative of current situation, it is not necessary that organisms will evolve towards that (unless there is strong selection pressure for it). In short, evolving to recycle nitrogen is (most likely) just not worth it.

P.S. you might be interested in this question to know more about evolution. Another answer here talks about storing excess nitrogen by adding ammonia into amino acids, yielding glutamate and glutamine. However, this process can be used only to a limited extent due to limited amount of substrate ($\alpha$-keto glutaric acid and glutamate) in the body. Also, excess glutamine in the body can have many major and minor side effects like skin rash, vomiting, etc. (see here for full list). Also, excess glutamate has much more pronounced effects. Since glutamate is a neurotransmitter, its excess causes cellular damage. This is what makes it an excitotoxin (see this for more details). Apart from this, the substrate ($\alpha$-keto glutaric acid) is an intermediate of Krebs cycle and is important in many other cellular activities (see here for details). So, its deficiency (caused due to conversion into glutamate) can easily affect many crucial metabolic activities. Thus, though this process seems an effective way of recycling nitrogen, it has many side-effects and is not much reliable i.e. can only be seen as an immediate solution. This is why when glutamate and glutamine build up in body, they are converted back to $\alpha$-keto glutaric acid and glutamate and the ammonia released via urea cycle.