I recently visited Bletchley Park and was fascinated by the whole experience. This is one question that niggled at me however. I may have missed any such explanation at the museum as it was extremely busy!
It wasn't just about the complexity of the enciphererment. Enigma machines were compact, portable devices, suitable for use on the move by army, navy and air force units, with enciphered messages transmitted by Morse code. Regulations required three operators to encipher or decipher messages, with letters being written down several times (e.g. the enciphered message was received and written down, then during the deciphering process the plain text letters were illuminated above the keyboard and again had to be noted down), allowing for errors to creep in. It was also limited to the letters of the alphabet, no numbers (they had to be spelled out) or spaces.
The Lorenz (and Siemens & Halske) machines worked on teleprinter codes, that could include numbers and spaces, and automated the enciphering and deciphering process so the operator had only to set the machine, then either type the message or retrieve the plain text. Messages could also be pre-punched on paper type for high speed transmission. They were large machines, most suited to headquarters units with teleprinter links, and far more suitable for sending and receiving large volumes of traffic.
(Paul Gannon, Colossus: Bletchley Park's Last Secret)
Some of the Lorenz messages carried Hitler's signature.
All ciphers are breakable, and even the Germans knew this. It's a question of time and effort to do so, and they had underestimated the development of computational machinery that was applied to this task.
The Lorenz machines were a substantially more complex mechanism. They had 12 wheels with little cams to flip up or down on each wheel. In contrast to the enigma where you just pick the five rotors of the day and spin them into position. I don't have figures, but judging by appearances the Lorenz would cost 10x the enigma to build and might be less reliable in army conditions.
From an operational point of view, it was probably also a good idea to use different ciphers for different purposes. Eggs and baskets.
A clarifying question, if I may: What was Hitler's involvement in the choice of encryption techniques?