Because the federal level is where all the power is. If you can get Congress to create new federal law, it becomes enforceable over all 50 states. If you move one state at a time it takes much longer, and there will always be states who are opposed to specific social programs and cannot be won over.
There was a
movement by Progressives in the 1990s to operate more at the local level. This
effort came about because the Supreme Court and Congress were becoming more
reluctant to support expanding the welfare state. These local efforts were
called “civil society” programs and they combined entrepreneurship,
volunteerism, and civic mindedness to achieve their goals.
Remember the great
historical tug of war between Progressives and Conservatives has been based on
defining the government’s role with respect to group rights versus individual
rights. Progressives look at society as a set of groups. Some of these groups
are disadvantaged and need to be helped by government. Conservatives are more
concerned with liberty, meaning the individual’s ability to live his life
independently without the government controlling him.