Because they know the possibilities of infinite power. Or they have a vague impression of its magnificence.  
And the hubris terrifies them. Such ponies know they were never meant to be gods.
 
 
“I walked in universes where the laws of physics were devised by the mind of a mad man. I’ve watched universes freeze and creations burn. I’ve seen things you wouldn’t believe. I have lost things you will never understand…” – 11th Doctor,  
“The Rings of Akhaten”, Doctor Who

But they don’t want to

Mind blown

@Background Pony #CEDF
 
Yeah, exactly.
 
 
@orbsah
 
Also this.

No, their magic is not infinite. This can be proven by Tirek nearly absorbing all of it and Cozy Glow nearly destroying it. If Equestrian magic wasn’t finite, then neither of these things could be done. Simple?

The big issue is they don’t know they’re not real, if they did then they’d be able to make themselves real.

If their magic is real, then they’re also real; if they’re not real, then their magic is also not real.

They don’t have infinite brains, unfortunately.

Someone once asked how, in the world of Harry Potter, where magic exists and has spells for even a lot of menial things, there are still problems in the world.
 
The answer is simply that the bad guys have magic too and can just basically undo anything you did to better the world.

…who said they did? Even Discord seems to have limits.