When joining the bitcoin network, why aren't we connected to the most geographically closest nodes? Is this a safety/security reason or is it just convenience?
There isn't any reason that I'm aware of to think that this would be desirable. I'm not aware of any way that it would improve things and it would make the network highly prone to partitioning. E.g. why would the nodes in north america ever have any connectivity to the nodes in europe?

Making some number of additional connections to nodes on your LAN would probably be useful, but it isn't that often that there are multiple nodes on a LAN.