There are loads of reasons. For a start, such an order is absurd - the only way you can shoot to kill someone with certainty is when they are unarmed, in a prone position, and from close range into the head; everything else (short of a firing squad) is just an order to shoot at someone. Calling for it is invariably the demand of politicians seeking to sound tough.
Secondly, it removes the person who is usually in the best position to determine what is and what is not a threat (ie: the shooter) from the position of determining whether or not to shoot, and replaces them with someone who is making a decision from what is often quite a distance (in distance and often time) away. This leads to mistakes, far less justifiable mistakes, being made than when an individual has to account for her or his actions - as we all saw in 2005.
Finally, and most obviously, it is often something that is widely abused.