In males, why it is difficult to control orgasm?
The sphincter of the bladder is under voluntary control (that's what toilet training is about). That's why you can hold your urine even when the stretched bladder is sending messages to your brain that you really have to go. That's not to say there aren't involuntary effects on the bladder during orgasm.

Orgasm is a separate entity. It is a complex neurological response with four stages. Orgasm is controlled by the autonomic nervous system and is a response that can be controlled as easily as pupillary dilation/contraction in response to light (that is, not at all). However, there is some measure of voluntary control over the plateau phase of orgasm.

In a bit more detail,


  expulsion is a spinal cord reflex that occurs as the ejaculatory process reaches a ‘point of no return’. During expulsion, the smooth muscle fibers of the bladder neck contract to prevent the backward flow of semen into the bladder; the pelvic floor muscles, along with the bulbospongiosus and ischiocavernosus muscles, have primary roles in this function, and display stereotypical rhythmic contractions to propel semen distally throughout the bulbar and penile urethra. During this process, the external urinary sphincter is normally relaxed. The bladder neck and proximal portion of the urethra, which both contain abundant smooth muscle fibers, receive dual sympathetic and parasympathetic innervation. Besides the cholinergic and noradrenergic components, the principal mediators found in these nerve terminals are NPY, VIP, and NO. The external urethral sphincter and pelvic floor striated muscles are solely regulated by the somatic nervous system, but there is no definitive evidence that a voluntary control of the expulsion phase exists in humans.[1]


Human sexual response cycle
Physiology of male sexual function
[1] Ejaculatory Disorders: Pathophysiology and Management: Physiology of Ejaculation