At least partly because what they are doing may be prohibited, and they need to do it in a real hurry before they get caught.
Also, they’re choosing the building they are to jump off - so they presumably have some reasonable expectation that their packed parachute will open in time.
(Former skydiver here)
For the same reason that roller coaster enthusiasts don’t climb out of the car at the top of the first hill and take the maintenance stairs back down.
Part of the point of BASE jumping is to experience low level freefall.
Stepping off with a fully inflated canopy is slope soaring and there are people who do it, but it’s not BASE jumping.
If I ever landed on top of a building and couldn’t attract attention by shouting I’d drape the canopy over the edge and wait for someone to notice, then wave for help.
Speaking of packing chutes, on my friend’s and my first jumps, he got a streamer and had to pull his reserve. I’m guessing (hoping) that doesn’t happen too often.
Easy to do if you misjudge the wind direction.
He could probably simply dangle the parachute over the side of building, and somebody would realize he was up there, or at least maintenance crews would go up to investigate. He might want to walk around and try to do it where the entrance was.
In 1941, a guy parachuted onto the top of Devil’s Tower as a stunt. The plan he had for getting down was woefully inadequate (The plane was to circle back and drop him a rope, some accounts say a rope ladder - it became a tangled mess, and it seems he no training in rappeling in this first place). He was stuck up there for a week, and it was a prominent news item. A mountaineer had to climb up and rescue him:
(Various people dropped him food and supplies. The newspapers had a lot of fun with it, quoting locals saying things like “The derned fool got himself up there, let him figure out how to get down”, and making suggestions that they should drop him a crate of whiskey - he would drink the whiskey, get drunk and fall over the edge, but he would survive somehow because God seems to take care of drunks.)
This seems to be a popular option; maybe the OP should try it first? 
My experience is that when you sport jump from an aircraft, you are not abandoned. There is a spotter on the aircraft and on the ground. If you don’t land in the designated area it will be noted, and the spotter in the aircraft will note where you landed.
Other than an instructor for students, I don’t think I’ve ever seen a “spotter” - unless you count the jump pilot. With rare exceptions, jump planes land with just one person aboard.
But you are quite right that jumpers routinely get accounted for. If you landed on top of a building - or indeed anywhere else away from the home field - you’d soon be missed and searched for.
I like the answers I’ve read here, but I still don’t see the one I thought of a very long time ago.
Years ago, I worked in a skyscraper… and I sometimes wondered what someone would do if they were suddenly and unexpectedly trapped on the roof.
I knew that there were always sudden & violent wind gusts outside (0 to 50MPH to 0 again), so I knew whoever it was would need to secure themselves so they didn’t unexpectedly find themselves in a free-fall heading towards concrete.
Next, I figured that this much wind would cause death by hypothermia and exposure pretty quickly, so they’d have to cover up as best they could with whatever they had.
Next would be to get attention. My best guess was to try to rig together a rope of some length with something heavy at the end (solid steel carabiner? Boot?).
The idea would be to tie one end to the roof and to throw the other end (the one tied to the heavy object) off the roof and cast it away from you as hard as you could. You’d then draw it back to you and keep repeating the process.
I figured that a boot tied to a rope slamming against a sky scraper window repeatedly might get somebody’s attention in one of the offices below.
(But yeah, if you have a parachute, know which way the wind is gusting that day, and time it right, jumping is probably a lot faster & easier.)
It might if the temperature were low enough. But 50 mph gusts at typical non-winter temperatures are definitely not life-threatening.
This assumes, of course, that you can find something to rig a rope with. The roof might be bare.
Granted, the observation deck of ESB would be an extreme example, but even on fairly warm days, the wind can drop the temperature of someone standing there and looking at NJ, if they aren’t dressed for it, pretty quickly.
There’s something about height and wind and temperature vs street clothes (my original hypothesis was what would someone in street clothes do) that I’m not doing justice to. Suffice it to say, the higher you go, the colder it gets.
(If I say that there is snow on top of Mount Washington, even on the sides of the parking lots, on some of the hottest days of the summer, could that count as my cite?)
Also, if a 50 mph gust were to knock you somewhat off balance on the street were you’d involuntarily side step once or twice., you’d laugh it off. If it did the same and you were between hand-holds on a roof… might that be a little more serious?
Yeah, that’s the hard part. You can’t cut up your jeans, tie the strips into a rope, and ties the laces of a boot to that rope or you’re probably going to freeze off some very important parts of your anatomy.
Window washer rigs must be locked up tight, probably because of the wind, so that’s not anything you can reasonably use or cannibalize without tools.
Granted, you could pick up at an odd-lot store for a few bucks a 50 foot Nylon Rope Hank and stow it in a back-pack… but in reality… Why?
Just stay off the roof! 
Definitely true - the standard lapse rate is 3.5 degrees F per 1000 ft.
The ESB observation deck is 1250 ft above the ground, so the temperature there will typically be about 4.4 degrees lower. That’s certainly noticeable, but rarely enough to make survivability an issue.
Sure. But there you’re talking about 5000+ ft of prominence - and often a serious load of snow dumped from Oct to May.
Single or two story building with flat roof probably will have a roof access hatch. Though it may be padlocked on the inside.
Mid rise or high rise will probably have stairwell access with a door. Normally they are locked to get out onto the roof but unlocked access into the building.
When I worked for The Emporium Stores, one store roof access was through a lock door with no handle on the roof side. My boss forgot to prop the door open once when he went onto the roof. He dropped notes wrapped around one of his tools asking that security be notified that he was locked onto the roof.
For a high rise, roof access is locked. And usually only maintenance people would go up there. Not much to work on, so it could be weeks before anyone went up there. Be sure to take plenty of food/water as those doors are metal and have very sturdy locks!