They're way shorter, there's a lot less time for fun adventure and worldbuilding. Once you've got the character introductions out of the way, there's barely any time to just relax and have fun with in the world before you have to start setting up for the finale. The same thing happened when 24 episode shows became endangered species, and it's even more acute now that what would once have been 12 episode shows are being replaced with 90-minute movies.
There's no space to focus on side content and characters, because everything has to be directly a part of one big three-act structure. Unlike a TV anime where episode endings provide a natural way to section off wildly differently-focused episodes and ideas without feeling unnatural, perhaps spend one episode just exploring a single character or aspect of the worldbuilding, doing the same in a single continuous movie just makes it feel unfocused.
There's no way for it to be elevated by rewatching, theorizing and discussion in between the way that episodic anime are. For instance, all of the little clues in the second episode of Princess Principal (Princess's name, what the anime's visual language was implying when Ange and Princess first spoke, deciphering the handwriting of the note) that really changed the context of the rest of the episodes for people who went back and tried to work out what they all meant and implied. All of that worked because there was that week in between for people to build up their investment and engagement with the story through an activity other than just passive watching, whereas when the whole thing comes at once, if you don't understand something you can just sit and wait for everything to be explained in the denoument fourty minutes later, and you don't get that extra investment from actively engaging with the story.