That's because there are so few to compete. You can probably count the number of conservatives in the US Senate on one hand. Conservatives are not attractive to a national electorate. We can barely muster a few statewide elections.
We need a farm team to build a pro team. Conservatives need more Governors and Senators that can be seen as viable Presidents. Conservatives for the most part don't win statewide races, we win tiny little gerrymandered congressional seats. A winning conservative has to be charismatic to attract moderates, without sin to meet conservative voter standards, and politically savvy to navigate the MSM minefields. A rare combination.
If we can only succeed by supporting the unobjectionable, why bother?