Numerous reasons. Let me first explain the Baltic states and Finland, then I'll get to the other countries.

1. Lithuania, Latvia, and Estonia had been a part of Imperial Russia for a long time prior to the Russian Civil War. The USSR made a deal with Germany in 1939 that allowed for the USSR to occupy and incorporate the Baltic states, since Germany recognized them as a part of Soviet influence. So, prior to WWII, they had, albeit briefly, been a part of the USSR and the UK, France, and the US couldn't effectively object to these actions. During WWII, it was assumed that the Soviet Union would reconquer the Baltic states and reestablish Soviet rule over them. There wasn't much the West could do about this. So, the Baltic states were apriori a part of the Soveit Union prior to the war and reincorporating them was simply reestablishing what was the USSR before the war.

2. Finland had also long been a part of the Russian Empire before the Civil War. However, Finland was in a much stronger position than the Baltic states. It was able to defend its territory until the very end of the Winter War, and even then, the USSR never wanted all of Finland, just the areas along the border that were resource rich and advantageous for defending Leningrad. Finland was simply a much tougher nut to crack. (In addition, although Finland sued for peace in March of 1940, the Soviets thought Finland was in a stronger position than they actually were). Also, the Soviet Union never occupied Finland "proper" after the war (just the parts they originally demanded prior to the Winter War. The relationship between Finland and the USSR from the Civil War through the Cold War is a very complex one that deserves its own thread.

So now to Poland, Czechoslovakia, Hungary, Romania, and Bulgaria.

1. Quite frankly, if Stalin had directly incorporated these countries into the USSR there would've been a complete breakdown of relations between them and the West, almost certainly leading to war. The USSR was in both a strong and weak position after WWII. Yes, the Red Army was the strongest in the world and occupied a significant portion of Europe. But the cities of eastern Europe and the western USSR were devastated. The population loss was extreme. Infrastructure was badly damaged. There was no way the USSR could have fought another prolonged war. The USSR needed to rebuild, not start a new fight.

2. Stalin was a masterful statesman and very good at foreign policy. He understood the nuances of deal making and knew that he could not overplay his hand. Stalin had worked with Churchill (although the two didn't like each other) and Roosevelt (who he got along better with), and for him to directly incorporate eastern Europe into the USSR would have led to a complete breakdown of relations (and almost certainly war) between the USSR and its wartime allies. Stalin was much more skilled of a statesman than just some tyrant looking to expand the borders of the USSR. During the course of the war, Churchill, Roosevelt, and Stalin had numerous conferences to discuss post-war Europe. Their foreign affairs offices communicated with one another often (although each side tried to keep some degree of secrecy). But to renege on these deals would have just been not in the best interest of the USSR. The Soviets put a lot of effort into the post-war effort, negotiating with the Allies tit-for-tat. For any country to just blatantly scrap a treaty would have resulted in severe repercussions.

3. Installing pro-Soviet governments was a much more efficient way to dominate eastern Europe than directly incorporating it. While Poland had been ruled by the Russian Empire for a long time, the other countries had never been ruled by Russia. The USSR simply had no claim to these territories. They had established institutions, and willing communists, that the Soviets could employ. Once again, this was just a much better and insidious way of establishing hegemony over eastern Europe. The UK, US, and western Europe could complain about "free elections" in eastern Europe, but that was about it. The West knew they couldn't do much else, and the USSR knew it as well. In addition, while many in eastern Europe welcomed the Soviets and were members of communist parties in their countries, if Stalin had attempted to annex these countries he would have ruined whatever capital he had with the communists in these countries, as they certainly couldn't have gone along with this maneuver.

4. Incorporating eastern Europe into the USSR would have been extremely costly. The USSR had already a weakened economy due to the war and needed to demobilize. Having the USSR be directly responsible for rebuilding eastern Europe would've strained their economy and military too much. It's much better to have the governments and militaries of eastern Europe do this, under the watchful eye of Uncle Joe of course.

5. While it may seem on paper that the USSR was in complete control of eastern Europe, they weren't. The guerrilla movement in Yugoslavia was quite powerful and led it to be non-aligned with the USSR. Many of these other countries had similar resistance movements and communist parties that did allow them enough negotiating power to avoid the USSR from directly incorporating them. Many countries like Bulgaria, Romania, and Hungary overthrew their war time governments in 1944 and declared war on the Axis (and aligned themselves with the USSR in the process). In other words, there wasn't a complete power vacuum in eastern Europe after the war.

Another way of looking at it is...why didn't the US or UK directly incorporate western Europe into their countries? Those reasons seem obvious to us, and they are similar reasons as to why the USSR didn't/couldn't.