I would imagine its because he has a company with employees who would also be impacted by a relocation while she does not -- his relocating would mean relocating the company he runs day-in-day-out and making employees choose between relocation or unemployment. No decent company owner would do something like that to his or her people. He could visit her occasionally but if he's running his business and isn't just a figurehead, he has to be in Chicago most of the time.
Scott also owns his residence while she stays in a hotel and already splits her time between NY and Palm Beach. She can still live her life exactly the same as she is now (other than being on the show, which by the way she's been treated, she's right to want off) and she gets the bonus of being married to him, which is what she wants.
I don't see her moving there as any sort of "giving up everything because he gave her an ultimatum" (insert dramatic music here). Any long-distance couple who wants to be together has to make a similar choice at some point. Determining whose life would be less impacted by the move (whether its who has the better/more lucrative job, who owns versus rents, etc.), is usually the deciding factor of who packs their boxes. I also think its perfectly normal for the person who IS the one that has to relocate to dither about whether to make that final step.