When comparing the centralized state of the Romans to the feudal ones of the medieval era, I wonder what made nations chose the latter.
That's an interesting question.
Roman and feudal might not be as far apart as you might think. The Roman Empire was built on patronage relationships.
A patronage relationship in the Roman empire would extend from one person to another person. Or, it could be from a general to his army and its soldiers, or a conqueror to territory conquered. In most cases, there was a strict hierarchy in terms of social classes, but could be between the same class, just one person better positioned within that class. The patron (the higher position) would take on a client (the lower position). The patron would assist the client in a number of ways. Arranging good marriages. Employing the client directly or finding the client employment. Helping the client with securing official elected positions. The patron was often a large landowner and could give land or other considerations.
Of interest here is the mention of conqueror to territory. Caesar essentially became the patron of Gaul when he conquered it. He could personally request services from Gaul and they could ask him - and him specifically, not the Roman Republic - for services in return. After his death, these responsibilities moved to Augustus who expanded the patronage angle by also serving as patron to newly formed colonies in Gaul and other northern territories. Augustus generally tied the services to the good of the empire, but ultimately, the conquered territories were effectively a personal patronage of the empire.
So, as the empire started sliding, it was interpersonal relationships like these that kept things going. It became more of a case of triaging the amount the centralized government could handle to just the big things, then putting in people personally loyal to the Empire in the provinces, then allowing them to fill out their governmental structures along the same lines. All with defined responsibilities in both directions.
I would argue that there was a clean line from the concept of patronage in Roman Society to feudalism in the same areas.
A feudal king could - for his vassals - Arrange good marriages. Employ the vassal directly or find the vassal employment. Help the vassal with securing official positions. Give land and titles to the vassal.
Also arguably, feudal frameworks are one of the very few effective ways to maintain authority. In the end, all politics is personal politics.
A centralized state requires a lot of conditions that a personal feudal relationship doesn't require. It's just simpler to put someone you trust in charge of an area and let them deal with 99% of the stuff there while you only need worry about the remaining 1%.