Everything still all comes down to Licensing. Marvel like every other company licenses their properties out for a period of time. This agreement happened long before Disney bought them and Marvel/Disney would probably have to pay a hefty amount to back out of that contract. It is same thing with marvel movies and TV shows. Disney owns them and has their own TV channels, yet Nickelodeon still has the rights to several marvel properties. And with Marvel making their movies now they can do whatever they want, except they can't make their own X-Men, Spider-Man, Fantastic Four, and some other character movies because other movie studios have those rights. It seems all kinds of wrong for our point of view but this is life.
I do agree that marvel lego sets would be the height of excellence. But until megabloks decides it isn't worth it to keep the license or the contract expires it won't happen. :(