A few possible answers:

1. If a spacecraft is orbiting a planet, each flyby of a moon is setting up the subsequent flybys. There are very precise conditions that they need to hit at each encounter for the whole trajectory to work.
2. For a spacecraft in orbit about a planet, it is costly to capture at one of the moons. Due to propellant constraints, if you capture into orbit at one of the moons you are generally staying there (e.g. getting better science at Io but sacrificing science at Ganymede, Callisto, Europa, and Jupiter itself).
3. Some moons are very difficult to have a spacecraft in orbit. Jupiter, for example, has a very hazardous radiation environment (especially for the electronics on board the spacecraft). Even if we had a dedicated Io mission, it might be better to have a series of flybys instead of orbiting the body because the spacecraft could live longer and return more data.
4. While being closer to a body generally will provide better resolution, it may not be required to meet the mission's science objectives. Also, the closer you approach a moon the faster you fly past it. You may actually get more data by having a lower resolution over a longer time span. It all comes down to what cameras and other instruments are on the spacecraft.
5. You have to keep in mind the scale of the solar system. Several hundred (or even thousand) kilometers away from a body is still pretty dang close. Even if you are 3,000 km away from Io, that's still less than 1/100 the distance from the Earth to the Moon. There's a lot of science you can do from there.
6. Due to navigational uncertainties, there is a limit to how close a spacecraft is allowed to approach each body. They like to be 110% sure that their 100+ million dollar spacecraft isn't going to become a new crater on Europa. Also, some moons (like Europa) may harbor life and have additional protections which can constrain your flyby distance.