Yeah, they're hard to pull off since they demand a lot of work from both GM and players. Simple RPs are great, because they can afford--hell, need--to be much more character-driven. They're less work-intensive, since you don't need to pay attention to a complex world or plot. In that sense, they're very straightforward and approachable.
On the other hand, complex RPs demand a lot of attention and thinking. If you have a huge world and a complex plot with conspiracies and plenty of backstory going on, if you screw up it becomes much more noticeable. And moreover, there's the fine line between deep and engaging storytelling, and railroading. A complex RP plot is essentially a story--but one that demands player involvement. Balancing the needs of the plot and the needs of the player is not very appealing work.