Why didn't African-Americans move in large numbers to settle in the"Wild West"/American Frontier after the Civil War and establish their own communities like the Mormons?

They did.

Black Americans moved West in vast numbers after the end of the American Civil War, and the topic is a well-covered one. They created black-only towns across the Great Plains and migrated west in search of better pay and prospects, just as their white counterparts did. Even more so than their white counterparts, however, they faced economic and social hurdles that retarded their success and even rolled that success backward.

Some of the best books on this topic are Quintard Taylor's In Search of the Racial Frontier: African-Americans in the American West, 1528-1990, Nell Irvin Painter's Exodusters: Black Migration to Kansas After Reconstruction and Dan Moos' Outside America: Race, Ethnicity, and the Role of the American West in National Belonging.

As far as African-American movement west goes, you see a surge after the formal end of Reconstruction in 1876. That's because many black Americans took advantage of the opportunities provided by the Republican Party and the North in the liberated South after the war. They had voting rights, free labor and (in some cases) land to work. The South in the late 1860s and early 1870s was more egalitarian than pretty much any part of the United States until the 1960s. Black politicians were elected to state and national office, black children received education on par with white children, and there was both freedom of movement and freedom of work despite widespread white terrorism and attempts by the "Reedemers" to roll back these racial successes.

Unfortunately, the "Redemption" movement triumphed, and this era of racial progress came to a lurching end. With prospects at home cut off, hundreds of thousands of African-Americans looked westward. By 1900, there were about 765,000 black Americans in the West, most in Texas.

As Taylor writes:

"African American entry into the region differed from the image of westward migration. Few blacks crossed the plains and mountains in wagon trains. Instead, those traveling from the South were likely to come by railroad or steamboat. Many more took the transportation naturally available to a newly freed people: They walked."

Many areas blocked black settlement. As /u/kingofweasels pointed out in a now-deleted comment, Oregon's state constitution in 1857 included a clause forbidding blacks from even entering the state. Other states and territories simply forbade blacks from staking homesteads in the region. That meant the main settlement avenue for whites was unavailable to blacks.

Kansas was an exception, and black Americans attempted to take advantage of that. In the spring and summer of 1879, the Exodus movement brought thousands of black settlers to Kansas from Louisiana, Mississippi and Texas. Their story is a tragic one, by and large.

Take John Solomon Lewis as an example. In the late 1870s, he and his family lived in grinding poverty in Tensas Parish, Louisiana. Lewis was a sharecropper and had the courage to challenge his white landowner. "It's no use," an account quoted by Taylor says, "I works hard and raises big crops and you sells it and keeps the money ... so I will go somewhere else and try to make headway like white workingmen."

Lewis' landlord tried to have him shot for his defiance, so he and his family fled into the swamp for three weeks before catching a ride on a riverboat to Kansas.

Unfortunately, those who arrived in Kansas generally lacked the resources (financial and social) enjoyed by white settlers. The Kansas Freedman's Relief Association (and other organizations) attempted to feed and house the thousands of blacks who arrived in the Exodus movement, with some short-term success. In the long-run, however, the KFRA could only come up with homesteads of a few acres for the Exodusters, and in the dry plains of Kansas, a homestead of 5-10 acres was too small to make a living. Under the Homestead Act of 1862, Americans could apply for a plot of up to 160 acres, but it took resources to develop those plots, and dryland farming needed even more acreage, something not fixed until the Enlarged Homestead Act of 1909.

Because whites frequently would not trade or deal with blacks on an equal basis (or at all), black settlers established towns and organizations where they went. There were dozens of these black-only towns scattered across the plains. One of the best examples is Nicodemus, in Kansas' Graham County.

That county had 75 residents when the black colonists arrived, and by 1880, the census counted 484 black residents within the county, plus another 258 blacks and 58 whites within the town itself. The town had two newspapers, a blacksmith shop, a hotel, post office, livery stable and general store. There were three churches and a schoolhouse.

From Taylor:

"As the first predominantly black western town to receive national attention, Nicodemus became an important symbol of the African-American capacity for self-governance and economic enterprise. Yet the town's prospects, always precarious, had gone into steady decline by the end of its first decade. First the weather struck. The winter blizzards of 1885 destroyed 40 percent of the township's wheat crop, prompting an exodus. Two years later, town leaders placed their hoes and $16,000 in railroad bonds, in unsuccessful efforts to attract the Missouri Pacific, the Santa Fe, and the Union Pacific railroads to their town. When all three railroads bypassed Nicodemus, its fate was sealed. After 1888, local boosters ceased trying to lure additional settlers, and prominent citizens ... left the area."

The bottom line is that black Americans did move West in significant numbers, and the experiences they faced were no different from the hardships faced by white settlers. Black settlers, however, faced additional difficulties that white settlers did not face, which meant that many more were dissuaded from moving west, and some who did move west ended up retreating in the face of hardship and prejudice.