Why did Europeans maintain a long, difficult trade route in the Silk Road

Well...they didn't. There's no such thing as the 'Silk Road', and conceptualising it as a discrete phenomenon, much less one 'maintained' by Europe, is problematic. u/EnclavedMicrostate in the linked post problematises the notion of the so-called 'Silk Road'.

rather than just importing the silkworms themselves to make silk in Europe?

Well...they did. u/toldinstone in the linked post speaks of the Great Byzantine Silkworm Heist.

Others have pointed out that silk production was more widespread, but it's also worth noting how labour- and expertise-intensive the whole silk industry was. Sericulture, or the production of silk is a painstaking process combining agriculture, cultivation, manufacture and more. Mulberry trees, pupae, people who know how to treat both, the boiling process, creating reeled silk- in many places, this wasn't possible without the importing of experts and the establishing of production centres. After that, the weaving of silk was also very detailed and required expertise- loom technologies, patterns, different complex weave methods etc were not things you could just pick up by looking at silks. There were transferable skills from other textile production methods, but it wouldn't be one-to-one.

Eventually, however, Constantinople, Bursa, Chios, Lesbos, Venice, Genoa, Lyons and other centres produced and/or wove silk- still, though, Chinese and Persian silk tended to be of higher quality, whether as silk reels or woven silk. Silk being largely a luxury good, the fact you could produce it at home wouldn't be enough- those capable would still import the best whenever they could, or at least would import different styles to show their power and taste.