Not because it is too light, but because it is being sent "up the flue" as metallic mercury vapor, which is not highly reactive with current scrubbing chemistries. Maybe if they added sodium hydrogen sulfide to the scrubbing spray, but that would probably cost a fortune.
Basically, just put a couple of "L"s into the smoke stack. Then the real cost is building such a smoke stack, and draining the water into a waste water tank.
Such a system would have up front capital costs, but the only additional cost in operation would be processing the waste water.
I do think it is a worthwhile use of tax dollars to try to make industry competitive but the environment clean. Tax credits for cleaning contaminates would relive energy sticker shocks.
There is a new control system being developed by a guy in Minnesota. I think its called Enviroscrub and uses another heavy metal to trap mercury, sulfur and other bad actors.