This answer by /u/NotenufCoffee and this answer by /u/hillsonghoods address the question.

The answer is: because amplification technology hadn't progressed enough yet. If you've ever seen an early phonograph player, they have a big metal horn attached to them. They don't have electronic speakers yet. That was the issue. A brass horn couldn't hope to have the volume to make a "talkie" loud enough to be heard throughout a movie theater.

Once amplification was accomplished, and speaker systems were developed, it was applied to several different emerging technologies almost simultaneously. The movie business was one. The audio industry was another (this splits the "acoustic recording era" from the "electrical recording era", about 1925). It also made radio technology commercially feasible, which exploded from 1926 on. And then at its simplest form, it made public address systems possible.

This also led to the exploration of electric instruments and sounds, ultimately leading to many different, new styles of music, including rock and roll.