Why is it so hard to develop a MMO?

The first problem is that the software itself is very complicated, particularly for a new or inexperienced game developer. You have to maintain (at the very least) a client and server application while providing more content than you would expect for a "regular" multiplayer or single-player game.

Even on their own as a single player game, an RPG with the complexity of a World of Warcraft would take professional teams years to develop to the same level of polish: an enormous content investment, lots of work up front and afterward with balancing and playtesting, and some of the most complicated interactions of any game genre. These are commercial-level games, and while yours might be smaller, it will still require a lot of effort just to be a good game before you pour in the extra work to make it become a good multiplayer game.

Networked game development is not trivial; there are large obstacles to overcome in not only latency, but cheat prevention, state management and load balancing. If you're not experienced with writing a networked game, this is going to be a difficult learning exercise.

Building it shouldn't be your sole concern for manpower and money, either; also consider the costs of running it after it's developed. Even a small massively multiplayer online game will need constant improvements to its hardware/software to keep up with demand and staff to manage the game and provide support for your players.

Think about the following:

• Hosting - Where are you going to host the servers? How will you pay for the bandwidth? How will you load balance players between servers and keep a minority of players from monopolizing the resources of the game? You'll need people to keep an eye on the condition of your hardware and software hosting the game in order to make sure that it will continue to work well.
• Technical support - Not just getting the game to run, but dealing with problems between players and handling player feedback in a way that will keep them loyal. If you're charging money (say, for a subscription), the billing system will be even more complicated (and most likely require legal assistance and possibly international representation and banking/processing fees). People who deal with these things need salaries.
• Security - Not just of their game accounts, but you have to consider cheat prevention and doing frequent repairs and community maintenance effort whenever a new exploit is discovered by players.