There are a few reasons for this. First, the goal of a cipher is to be as secure as possible with the smallest key size. The AES key schedule, although simple, is sufficient for expanding the key into all necessary round keys. Other block ciphers use other key schedules. The requirements are fairly modest. Some block ciphers use very complicated and slow key schedules, whereas others use relatively fast but more fragile key schedules. Either one is better than having no key schedule.
Second, a good block cipher has a flat keyspace. This means that no bits are more important than any other bits, and all keys are equally secure. If the master key is simply longer and is split up into each round key as you suggest, then it would not have a flat keyspace. Certain keys would be less secure than others. For example, a 128-bit block cipher with 10 rounds that takes a 1408-bit key (10 rounds usually require 11 round keys) could be vulnerable to a slide attack if that 1408-bit key is made of repeating 128-bit values (i.e. the same 128-bit value is used for each round). You could get around this by demanding that the cipher only be keyed with a randomly-generated key, but then you're placing limitations on the use of the cipher, which is a bad thing. You could use a PRNG to generate all the key material and merely seed it, but then you've just re-invented the key schedule!
Third, the only reason to use a larger key would be to increase the total keyspace (i.e. the number of possible keys) to make brute force attacks more difficult. A 256-bit key is more than enough and increasing the size of the key is simply unnecessary. If the key size really needed to be increased, it would be easy enough to do so without getting rid of the key schedule.
Finally, some ciphers have a large number of rounds. Threefish has up to 80 rounds and a block size of up to 1024 bits. Round keys are added every four rounds and before the first round totaling ~21.5 KiB of key material, and using a key of that size would be utterly impractical. A cipher that uses many rounds does so because each round is weaker and provides less security than each round in a cipher that requires fewer rounds but achieves the same security. There is no reason for the size of the key to be influenced by the design choice of using many weak rounds or few strong rounds.