You might as well ask why people keep behaving in self-destructive ways when they know better, for example overeating and not exercising. The rewards of changing behavior are obvious and they know it, yet they don’t do it until a significant event happens. Getting seriously ill will do it, but so will running for president.
In your question, you also treat the adoption of Lean as an personal choice. It’s not. Organizations choose to implement Lean, not individuals. It is a decision made by top managers, and they must communicate to all levels why they are doing it and that they are dead serious, which means that participation in the effort is a condition for continued membership in the organization.
Also, as Tom Berghan said “Lean isn’t Feng Shui on the business, it is the business.” In other words, if you want to be successful in implementing Lean, you cannot cherry-pick elements of it. Your question is centered on continuous improvement, performance management, and problem-solving, which won’t make much of a difference if they are all you do. In Manufacturing, the core of Lean includes specific approaches to production line design, operator job design, production control and logistics, quality assurance, maintenance, human resource management, accounting, strategy deployment, etc. I understand your work in Banking, where many of these approaches are not directly relevant, which means that you have to invent their equivalent for banking operations.