One reason is it's hard to find Admiral shares of Vanguard funds outside of Vanguard. I have a Schwab account that I don't use, and I just tried it to confirm---you can't buy VTSAX from that account. Of course, you can work around this by buying Schwab index funds instead.
If you're really that concerned about it, you should be aware that the SIPC insures up to $500k per person per brokerage account. The SIPC does not protect the value of your securities against drops in market value, but it does protect you if your brokerage goes bankrupt.