As far as I know, there's nothing of the sort of loyalty to an archive. Some authors might feel more comfortable with one archive than other; that could be a reason.

What I think might be though, is that many of the fics at skyehawke are from authors who are not longer active in fandom, so they aren't as invested in their fics and maybe unwilling to go through the whole ordeal of moving all their stuff to a new home. Some authors have done so even though they have left fandom, and I truly appreciate it, because, like you, I just love the option of downloading the entire work to my e-reader. I love AO3, to be honest, and that's one of the many reasons. :)

But for other authors is a slow process. More and more people are loading their stuff there though. Almost all fests upload longer (and shorter) stories directly there, but, of course, there's the possibility that once in a while an author just doesn't like AO3 and decides to host their work someplace else.

Oh, over here in this post, the archive owner says that in the future there's going to be the option to download stories, if the author grants permission. Hopefully that will happen and many authors will be on board. :)