Picture the selling speil:
"You can raise and control up to 3 elemental dragons to do your bidding and fight your battles for you!!"
or
"Experience world changing quests that tax your mind to the limits!"
Dragons > Puzzles, in a lot of gamers minds. Not all gamers, mind you - but a lot of them. Also, modifying a MMORPG's world based on player actions is a very very hard thing to design. That's why 90% of MMORPGs don't do it.
"Sorry - the last group of adventurers through here didn't manage to stop the inn from burning down - so you'll have nowhere to camp tonight."
or
"The Elder Dragon Oonprenouncaybal? Was killed last week by some heros - but I've got some carrots that want harvesting, will that do as a quest instead?"
Several games let the player have housing (UO, SWG) which appears on the landscape - that leads to limited space and complaints of 'land stealing'. Some games allow territory to change hands (Planetside, DAoC) but it's always kept within limits - and doesn't really mean anything in the end anyway. Change in MMORPGs means someone might break the game, and you can't let that happen.
The only one that does allow it, is ATitD - and that's a rather niche game.