They are playing different sports. Hedge funds aren't really about maximizing your return, they are about maximizing the profit of the firm that manages it. That could mean making customers happy by maximizing their revenue, but if they can just do a good enough job and convince their customers that they are doing an excellent job by taking advantage of imperfect market information (the market in this case being money managing), then they can extract the most amount of money sustainably from their clients.

Alternatively they could just use an index fund, and their customers would be better off, but then they would have to convince those customers they were providing enough value to equal their fees, which would be hard, and would likely result in many lost customers.