Punishment

Because Sheogorath relishes the suffering of mortals, and suicide brings all that to an end, and thus his amusement.

The land literally draws it's power from the madness of it's residents. If they could freely kill themselves without consequence, it would lessen the power absorbed from them by the land, and consequently, Sheogorath's power. There is a reason Daedric Princes continuously bargain, trick, coerce, and otherwise seek to obtain rights to human souls. Besides, suicide is illegal in a lot of places in our world too. We just can't enforce any kind of punishment if they're successful.